The Valdostana goat is an alpine breed, raised only in the northern Italian region of the Aosta Valley. This breed’s main purpose is to produce milk and meat, but is peculiar for its involvement in the “Batailles de Chèvres,” a recent tradition of non-cruel fight tournaments. At both the genetic and genomic levels, only a very limited number of studies have been performed with this breed and there are no studies about the genomic signatures left by selection. In this work, 24 unrelated Valdostana animals were screened for runs of homozygosity to identify highly homozygous regions. Then, six different approaches (ROH comparison, Fst single SNPs and windows based, Bayesian, Rsb, and XP-EHH) were applied comparing the Valdostana dataset with 14 other Italian goat breeds to confirm regions that were different among the comparisons. A total of three regions of selection that were also unique among the Valdostana were identified and located on chromosomes 1, 7, and 12 and contained 144 genes. Enrichment analyses detected genes such as cytokines and lymphocyte/leukocyte proliferation genes involved in the regulation of the immune system. A genetic link between an aggressive challenge, cytokines, and immunity has been hypothesized in many studies both in humans and in other species. Possible hypotheses associated with the signals of selection detected could be therefore related to immune-related factors as well as with the peculiar battle competition, or other breed-specific traits, and provided insights for further investigation of these unique regions, for the understanding and safeguard of the Valdostana breed.