This study aimed to study the potential effects of climatic conditions prevalent at the locations of sheep farms in the country. The specific objectives were to explore associations between climatic variables and the incidence of four clinical problems in sheep farms and, moreover, to compare these to the health management practices applied in the farms. Our hypothesis was that climatic factors may be associated with the prevalence of diseases in sheep farms; this will provide information regarding potential weather effects, to take into account in the efforts for control of the diseases. Data were obtained during a large cross-sectional investigation performed across Greece involving 325 sheep flocks. Climatic variables prevailing at the location of each farm were derived from ‘The POWER Project’. The annual incidence rate for abortion was 2.0% (95% confidence intervals: 1.9–2.1%), for clinical mastitis 3.9% (3.8–4.0%), for lamb pneumonia 1.4% (1.3–1.4%) and for lamb diarrhoea 7.9% (7.8–8.1%). In multivariable analyses, climatic variables emerged as significant predictors for abortion—high annual precipitation at the farm location (p = 0.024)—and for lamb diarrhoea—high average annual temperature range at the farm location (p < 0.0001)—but not for clinical mastitis or lamb pneumonia. The potential effects of climatic variables were found to be more important in lambs than in adult animals. Future studies may focus on how variations in temperature and precipitation can be translated into on-farm metrics to understand the impacts on sheep health and welfare.