Dairy small ruminants account for approximately 21% of all sheep and goats in the world, produce around 3.5% of the world's milk, and are mainly located in subtropical-temperate areas of Asia, Europe, and Africa. Dairy sheep are concentrated around the Mediterranean and Black Sea regions, where their dairy products are typical ingredients of the human diet. Dairy goats are concentrated in low-income, food-deficit countries of the Indian subcontinent, where their products are a key food source, but are also present in high-income, technologically developed countries. This review evaluates the status of the dairy sheep and goat sectors in the world, with special focus on the commercially and technically developed industries in France, Greece, Italy, and Spain (FGIS). Dairy small ruminants account for a minor part of the total agricultural output in France, Italy, and Spain (0.9 to 1.8%) and a larger part in Greece (8.8%). In FGIS, the dairy sheep industry is based on local breeds and crossbreeds raised under semi-intensive and intensive systems and is concentrated in a few regions in these countries. Average flock size varies from small to medium (140 to 333 ewes/farm), and milk yield from low to medium (85 to 216 L/ewe), showing substantial room for improvement. Most sheep milk is sold to industries and processed into traditional cheese types, many of which are Protected Denomination of Origin (PDO) cheeses for gourmet and export markets (e.g., Pecorino, Manchego, and Roquefort). By comparing break-even milk price among FGIS countries, we observed the following: (1) most Greek and French dairy sheep farms were unprofitable, with the exception of the intensive Chios farms of Greece; (2) milk price was aligned with cost of production in Italy; and (3) profitable farms coexisted with unprofitable farms in Spain. In FGIS, dairy goat production is based on local breeds raised under more extensive systems than sheep. Compared with sheep, average dairy goat herds are smaller (36 to 190 does/farm) but milk yield is greater (153 to 589 L/doe), showing room for improvement. Goat milk is mainly processed on-farm into dairy products for national markets, but some PDO goat milk cheeses (e.g., Murcia al Vino) are exported. Processed goat milk is sold for local human consumption or dehydrated for export. Mixed sheep-goat (e.g., Feta) and cow-sheep-goat milk cheeses are common in many countries. Strategies to improve the dairy sheep and goat sectors in these 4 countries are proposed and discussed.