There is currently an increased consumer demand for information on herbivore production factors, particularly animal diet. To meet these demands, producers and commercial entities develop specifications via quality certifications. There is therefore a need for analytical tools that may guarantee that the specification commitments have been fully met or to help with constructing them. The present paper reviews the current state of knowledge concerning diet authentication in sheep meat and milk, the different approaches that have been investigated, some leading examples concerning the discrimination of contrasting feeding situations, together with the persistence of some diet markers in the event of changes in animals' diet. The nature of the diet strongly influences the composition of the animal tissues and products, which is due to specific compounds that are directly transferred from the feed to the end product or that are transformed or produced by rumen micro-organisms or the animal's metabolism under the effect of specific diets. Some of these compounds can therefore be used as diet markers. Compounds such as carotenoids, phenolic compounds, fatty acids, volatile compounds and ratios of oxygen, hydrogen, carbon and nitrogen stable isotope are potential tracers in meat and milk or animal tissues of animal feeding diets. Moreover, differences in meat and milk composition induce differences in their optical properties, and therefore in their spectral features, which can also be used for diet authentication. These techniques have already allowed discrimination among products obtained in contrasting feeding conditions. Intermediate situations, for example in case of modification of the animal's diet, may be less easily recognized and may require a combination of tracing methods. In particular, the persistence of tracers when animals are stall-fed a concentrate-based diet after pasture and its implications for traceability are discussed. Finally, further directions for research are highlighted.