Chronic stress occurs when animals are unable to deal with a persistent stressor with species-typical responses, or when several stressors are present concurrently. Chronic stress is most frequently considered in intensive systems, but it may also be a welfare concern for extensively managed species, such as the sheep. Here we review behavioural and physiological responses of sheep to experimentally induced chronic stressors to determine relevant indicators of chronic stress. Neuroendocrine responses to chronic stress are difficult to interpret because initial responses are followed by an apparent normalisation. Thus, cortisol or catecholamines may be at or below pre-stress levels during chronic stress, but this varies with different stressors. Chronic stress can also affect reproductive function, impair body and wool growth and meat quality, reduce immune function, and is associated with greater parasite burdens in sheep. Chronic stress induces alterations in behaviour patterns, particularly activity and feeding, and circadian rhythms of behaviour. Stereotypic behaviours, however, are infrequent in sheep and may occur only in experimental conditions of social isolation. Behavioural and physiological data suggest that rough handling and sheepdogs may be sources of chronic stress for sheep. Social subordination and weaning also act as chronic stressors, leading to higher parasitism in these animals and a greater response to additional stressors. Lameness and parasitism are associated with physiological and behavioural responses indicating that these are severe forms of chronic stress in sheep. It is unclear whether environmental stressors, such as weather and food availability, induce chronic stress in sheep. Under-nutrition may, however, be a welfare concern through its impact on lamb survival. The existence of many sources of chronic stress in the management of sheep suggests that the welfare of this species requires more attention than it has currently received.