The identification of genes influencing fitness is central to our understanding of the genetic basis of adaptation and how it shapes phenotypic variation in wild populations. Here, we used whole-genome resequencing of wild Rocky Mountain bighorn sheep (Ovis canadensis) to >50-fold coverage to identify 2.8 million single nucleotide polymorphisms (SNPs) and genomic regions bearing signatures of directional selection (i.e. selective sweeps). A comparison of SNP diversity between the X chromosome and the autosomes indicated that bighorn males had a dramatically reduced long-term effective population size compared to females. This probably reflects a long history of intense sexual selection mediated by male–male competition for mates. Selective sweep scans based on heterozygosity and nucleotide diversity revealed evidence for a selective sweep shared across multiple populations at RXFP2, a gene that strongly affects horn size in domestic ungulates. The massive horns carried by bighorn rams appear to have evolved in part via strong positive selection at RXFP2. We identified evidence for selection within individual populations at genes affecting early body growth and cellular response to hypoxia; however, these must be interpreted more cautiously as genetic drift is strong within local populations and may have caused false positives. These results represent a rare example of strong genomic signatures of selection identified at genes with known function in wild populations of a nonmodel species. Our results also showcase the value of reference genome assemblies from agricultural or model species for studies of the genomic basis of adaptation in closely related wild taxa.