Aridity and heat are significant environmental stressors that affect sheep adaptation and adaptability, thus influencing immunity, growth, reproduction, production performance, and profitability. The aim of this study was to profile mRNA expression levels in the spleen of indigenous Kazakh sheep breed for comparative analysis with the exotic Suffolk breed. Spleen histomorphology was observed in indigenous Kazakh sheep and exotic Suffolk sheep raised in Xinjiang China. Transcriptome sequencing of spleen tissue from the two breeds were performed via Illumina high-throughput sequencing technology and validated by RT-qPCR. Blood cytokine and IgG levels differed between the two breeds and IgG and IL-1β were significantly higher in Kazakh sheep than in Suffolk sheep (p < 0.05), though spleen tissue morphology was the same. A total of 52.04 Gb clean reads were obtained and the clean reads were assembled into 67,271 unigenes using bioinformatics analysis. Profiling analysis of differential gene expression showed that 1158 differentially expressed genes were found when comparing Suffolk with Kazakh sheep, including 246 up-regulated genes and 912 down-regulated genes. Utilizing gene ontology annotation and pathway analysis, 21 immune- responsive genes were identified as spleen-specific genes associated with adaptive traits and were significantly enriched in hematopoietic cell lineage, natural killer cell-mediated cytotoxicity, complement and coagulation cascades, and in the intestinal immune network for IgA production. Four pathways and up-regulated genes associated with immune responses in indigenous sheep played indispensable and promoting roles in arid and hot environments. Overall, this study provides valuable transcriptome data on the immunological mechanisms related to adaptive traits in indigenous and exotic sheep and offers a foundation for research into adaptive evolution.