Milk yield is the most important dairy sheep trait and constitutes the key genetic improvement goal via selective breeding. Mastitis is one of the most prevalent diseases, significantly impacting on animal welfare, milk yield and quality, while incurring substantial costs. Our objectives were to determine the feasibility of a concomitant genetic improvement programme for enhanced milk production and resistance to mastitis. Individual records for milk yield, and four mastitis-related traits (milk somatic cell count, California Mastitis Test score, total viable bacterial count in milk and clinical mastitis presence) were collected monthly throughout lactation for 609 ewes of the Chios breed. All ewes were genotyped with a mastitis specific custom-made 960 single nucleotide polymorphism (SNP) array. We performed targeted genomic association studies, (co)variance component estimation and pathway enrichment analysis, and characterised gene expression levels and the extent of allelic expression imbalance. Presence of heritable variation for milk yield was confirmed. There was no significant genetic correlation between milk yield and mastitis traits. Environmental factors appeared to favour both milk production and udder health. There were no overlapping of SNPs associated with mastitis resistance and milk yield in Chios sheep. Furthermore, four distinct Quantitative Trait Loci (QTLs) affecting milk yield were detected on chromosomes 2, 12, 16 and 19, in locations other than those previously identified to affect mastitis resistance. Five genes (DNAJA1, GHR, LYPLA1, NUP35 and OXCT1) located within the QTL regions were highly expressed in both the mammary gland and milk transcriptome, suggesting involvement in milk synthesis and production. Furthermore, the expression of two of these genes (NUP35 and OXCT1) was enriched in immune tissues implying a potentially pleiotropic effect or likely role in milk production during udder infection, which needs to be further elucidated in future studies. In conclusion, the absence of genetic antagonism between milk yield and mastitis resistance suggests that simultaneous genetic improvement of both traits be achievable.