Genome-wide association study (GWAS), an effective strategy to identify genetic variants associated with complex traits, has been used to study candidate genes of economical traits in animals. With the recent completion of sheep and goat genomes, single nucleotide polymorphism (SNP) chips of different densities are developed and commercialized. All these advances have enlarged the collection of molecular markers and also shed new light on the genetics of traits of interest in sheep and goats. In this review, we focus on the adoption of GWAS for important traits in sheep and goats, such as horn types, wool, dairy, growth and meat, reproduction and disease types, etc., and summarize the populations, major statistical methods and results of the GWAS analysis. Moreover, we also discuss the current state of GWAS, aiming to provide a reference for further studies on the genetic background of the important traits of sheep and goats by GWAS.