Mouflon (Ovis aries musimon) became extinct from mainland Europe after the Neolithic, but remnant populations from the Mediterranean islands of Corsica and Sardinia have been used for reintroductions across Europe since the 19th-century. Mouflon x sheep hybrids are larger-bodied than mouflon, potentially showing increased male reproductive success, but little is known about genomic levels of admixture, or about the adaptive significance of introgression between resident mouflon and local sheep breeds. Here we analysed Ovine medium-density SNP array genotypes of 92 mouflon from six geographic regions, along with data from 330 individuals of 16 domestic sheep breeds. We found lower levels of genetic diversity in mouflon than in domestic sheep, consistent with past bottlenecks in mouflon. Introgression signals were bidirectional and affected most mouflon and sheep populations, being strongest in one Sardinian mouflon population. Developing and using a novel approach to identify chromosomal regions with consistent introgression signals, we infer adaptive introgression from mouflon to domestic sheep related to immunity mechanisms, but not in the opposite direction. Further, we infer that Soay and Sarda sheep carry introgressed mouflon alleles involved in bitter taste perception and/or innate immunity. Our results illustrate the potential for adaptive introgression even among recently diverged populations.