Copy number variants (CNVs) are one of the major contributors to genetic diversity and phenotypic variation in livestock. The aim of this work is to identify CNVs and perform, for the first time, a CNV-based population genetics analysis with five Italian sheep breeds (Barbaresca, Comisana, Pinzirita, Sarda, and Valle del Belìce). We identified 10,207 CNVs with an average length of 1.81 Mb. The breeds showed similar mean numbers of CNVs, ranging from 20 (Sarda) to 27 (Comisana). A total of 365 CNV regions (CNVRs) were determined. The length of the CNVRs varied among breeds from 2.4 Mb to 124.1 Mb. The highest number of shared CNVRs was between Comisana and Pinzirita, and only one CNVR was shared among all breeds. Our results indicated that segregating CNVs expresses a certain degree of diversity across all breeds. Despite the low/moderate genetic differentiation among breeds, the different approaches used to disclose the genetic relationship showed that the five breeds tend to cluster in distinct groups, similar to the previous studies based on single-nucleotide polymorphism markers. Gene enrichment was described for the 37 CNVRs selected, considering the top 10%. Out of 181 total genes, 67 were uncharacterized loci. Gene Ontology analysis showed that several of these genes are involved in lipid metabolism, immune response, and the olfactory pathway. Our results corroborated previous studies and showed that CNVs represent valuable molecular resources for providing useful information for separating the population and could be further used to explore the function and evolutionary aspect of sheep genome.