The sheep farming has economic and sociocultural importance in semi-arid regions worldwide. Of the total of 1.2 billion sheep in the world, 0.4 are found in semi-arid regions. In this review, we have discussed the main risk factors for neonatal lamb mortality and its association with the prevailing environmental conditions of tropical semi-arid regions. Over the last decades, the average mortality rate of newborn lambs remained relatively constant (~15%) around the world. This rate is reported to be higher (Up to 30%) in small-scale sheep farming systems from developing countries. Overall, the main risk factors of neonatal mortality include low birth weight, dystocia, adverse weather conditions, inadequate milk, or colostrum supply, competition between siblings in multiple births, and poor expression of maternal behaviour. In tropical semi-arid regions, recent findings revealed that newborn lambs from hair coat sheep breeds are less vigorous to perform the first suckling when even exposed to moderate cold conditions (18–20°C). On the other hand, the high radiant heat load in these areas can also challenge the thermoregulation of ewes and newborn lambs, especially if they are kept in areas without protection against direct short-wave solar radiation. Under such circumstances, newborn lambs were reported to be hyperthermic. The heat stress as risk factor for neonatal lamb mortality is a topic that deserves more investigation, particularly in tropical semi-arid areas, where is expected to be drier and hotter as consequence of rapid advances in climate change.