North America today has several unique species of hooved animals, ruminants, including the bison (Bison; Bovinae), muskox (Ovibos), wild sheep (Ovis), and mountain goat (Oreamnos), along with many extinct forms. The timing of their arrival from Asia is still inadequately understood, and likely occurred at different times over the past five million years. The group containing the sheep and goats (Caprini) are the subject of this report. Here we describe a new species of wild sheep, Sinocapra willdownsi, from the early Pliocene, Blancan North American Land Mammal Age deposits of Panaca, Nevada, USA. This taxon is likely the earliest member of the Caprini to enter North America and lived at least in the western Intermountain Region approximately 4.95 to 4.50 million of years ago. The new Panaca wild sheep is not a member of any living genus within the Caprini and most closely resembles the extinct Sinocapra minor of China. The new fossil is shown to represent an adult female and appears to have been a small animal with a minor, straight, non-diverging, horn cores without torsion, and therefore likely had simple horn sheaths. Much remains to be understood about this new wild sheep and all its descendents and relatives of the Pliocene.