Our knowledge of the physiology and health of small ruminants, specifically sheep and goats, is frequently obtained by extrapolating information from other species, for example the cow. However, there are important genetic, physiological and anatomical differences between small and large ruminants that cannot be ignored. This review considers the advances that have been made in the investigation of sheep and goat physiology through the use of proteomic technologies. Proteomics is widely used to analyze clinically relevant body fluids for a number of animals to define productive traits and health status biomarkers as well as to monitor therapeutic interventions for infectious and metabolic diseases. Although the proteomes of body fluids have been described in detail for some animal species, there are few equivalent studies for sheep and goats. Nevertheless, the data now available for the proteomes of a range of body fluids in small ruminants have helped define new diagnostic and prognostic markers for these species. Moreover, these data are beneficial in studies where these small ruminants serve as models for human disease. However, despite the progress achieved to date, comprehensive data on the specific proteomes for many tissues and body fluids for sheep and goats remain scarce. The aim of this review is to describe the current status of small ruminant proteomic research and to demonstrate the potential benefits, as well as highlight the difficulties, of working with these animals.