Chinese indigenous sheep can be classified into two types according to their tail morphology: fat-rumped and thin-tailed sheep, of which the typical breeds are Altay sheep and Tibetan sheep, respectively. To identify the differentially expressed proteins (DEPs) underlying the phenotypic differences between tail types, we used iTRAQ combined with multi-dimensional liquid chromatography tandem mass spectrometry (LC-MS/MS) technology to detect candidate proteins. We then subjected these to a database search, and identified the DEPs. Finally, bioinformatics technology was used to carry out GO functional and KEGG pathway analyses. A total of 3248 proteins were identified, of which 44 were up-regulated and 40 were down-regulated DEPs. Analyzing their GO function terms and KEGG pathways revealed that the functions of these DEPs are mainly binding, catalytic activity, structural molecule activity, molecular function regulator, and transporter activity. Among the genes encoding the DEPs, APOA2, GALK1, ADIPOQ, and NDUFS4 are associated with fat formation and metabolism.