Small ruminants (sheep and goats) play a predominant role in the economy of million people, and have provided meat, milk, skin, wool and fiber for centuries. Animals undergo various kinds of stressors, i.e. physical, nutritional, chemical, psychological and heat stress (HS). Among all, HS is the most concerning at present in the ever-changing climatic scenario. Climate change is the most serious long-term challenge faced by small ruminants' owners worldwide. HS results in decreased growth, reproduction, production, milk quantity and quality, as well as natural immunity, making animals more vulnerable to diseases, and even death. Thus, HS results in great economic losses, emphasizing the necessity to objectively assess animal welfare. The increasing demand for animal products paralleled by the frequent hot climate is a serious threat for the agriculture sector. The ability of sheep and goats to cope with HS without harming their welfare and productive performance has been often overrated. To date, little attention has been paid to comprehensive detailed data on the adverse effect of HS on sheep and goats. Therefore, this review discusses in detail the sheep and goats' behavioral, physiological, molecular/cellular, hematological, biochemical and immunological responses under HS conditions. In addition, this review also presents the adverse effects of HS on reproduction and fertility, milk quantity and quality, feed intake, and water consumption of sheep and goats. Finally, this review suggests various methods for HS alleviation. In conclusion, HS impairs productivity and well-being in sheep and goats. The improved understanding of the impact of HS on small ruminants will help in developing management techniques to alleviate HS and highlighting the need for future researches on HS in sheep and goats.