Previous studies revealed extensive genetic introgression between Ovis species, which affects genetic adaptation and morphological traits. However, the exact evolutionary scenarios underlying the hybridization between sheep and allopatric wild relatives remain unknown. To address this problem, we here integrate the reference genomes of several ovine and caprine species: domestic sheep, argali, bighorn sheep, snow sheep, and domestic goats. Additionally, we use 856 whole genomes representing 169 domestic sheep populations and their six wild relatives: Asiatic mouflon, urial, argali, snow sheep, thinhorn sheep, and bighorn sheep. We implement a comprehensive set of analyses to test introgression among these species. We infer that the argali lineage originated ∼3.08 to 3.35 Mya and hybridized with the ancestor of Pachyceriforms (e.g. bighorn sheep and snow sheep) at ∼1.56 Mya. Previous studies showed apparent introgression from North American Pachyceriforms into the Bashibai sheep, a Chinese native sheep breed, despite of their wide geographic separation. We show here that, in fact, the apparent introgression from the Pachyceriforms into Bashibai can be explained by the old introgression from Pachyceriforms into argali and subsequent recent introgression from argali into Bashibai. Our results illustrate the challenges of estimating complex introgression histories and provide an example of how indirect and direct introgression can be distinguished.