The Tibetan sheep is an indigenous animal of the Tibetan plateau, and after a long period of adaptation have adapted to high-altitude hypoxia. Many physiological changes occur in Tibetan sheep as they adapt to high-altitude hypoxia, especially in the lungs. To reveal the physiological changes and their molecular mechanisms in the lungs of Tibetan sheep during adaptation to high altitudes, we selected Tibetan sheep from three altitudes (2500 m, 3500 m, and 4500 m) and measured blood-gas indicators, observed lung structures, and compared lung proteome changes. The results showed that the Tibetan sheep increased their O-carrying capacity by increasing the hemoglobin (Hb) concentration and Hematocrit (Hct) at an altitude of 3500 m. While at altitude of 4500 m, Tibetan sheep decreased their Hb concentration and Hct to avoid pulmonary hypertension and increased the efficiency of air-blood exchange and O transfer by increasing the surface area of gas exchange and half-saturation oxygen partial pressure. Besides these, some important proteins and pathways related to gas transport, oxidative stress, and angiogenesis identified by proteome sequencing further support these physiology findings, including HBB, PRDX2, GPX1, GSTA1, COL14A1, and LTBP4, etc. In conclusion, the lungs of Tibetan sheep are adapted to different altitudes by different strategies; these findings are valuable for understanding the basis of hypoxic adaptation in Tibetan sheep.