The periaqueductal gray (PAG) is a mesencephalic brain structure organised in subdivisions with specific anatomical connections with the rest of the brain. These connections support the different PAG functions and especially its role in emotion. Mainly described in territorial and predatory mammals, examination of the PAG connections suggests an opposite role of the ventral and the dorsal/lateral PAG in passive and active coping style, respectively. In mammals, the organisation of PAG connections may reflect the coping style of each species. Based on this hypothesis, we investigated the anatomical connections of the PAG in sheep, a gregarious and prey species. Since emotional responses expressed by sheep are typical of active coping style, we focused our interest on the dorsal and lateral parts of the PAG. After injection of fluorogold and fluororuby, the most numerous connections occurred with the anterior cingulate gyrus, the anterior hypothalamic region, the ventromedial hypothalamic nucleus and the PAG itself. Our observations show that the sheep PAG belongs to the neuronal circuit of emotion and has specific parts as in other mammals. However, unlike other mammals, we observed very few connections between PAG and either the thalamic or the amygdalar nuclei. Interestingly, when comparing across species, the PAG connections of sheep were noticeably more like those previously described in other social species, rabbits and squirrel monkeys, than those in territorial species, rats or cats.