Characterization of autozygosity is relevant to monitor genetic diversity and manage inbreeding levels in breeding programs. Identification of autozygosity hotspots can unravel genomic regions targeted by selection for economically important traits and can help identify candidate genes for selection. In this study, we estimated the inbreeding levels of a Brazilian population of Murrah buffalo undergoing selection for milk production traits, particularly milk yield. We also studied the distribution of runs of homozygosity (ROH) islands and identified putative genes and quantitative trait loci (QTL) under selection. We genotyped 422 Murrah buffalo for 51,611 SNP; 350 of these had ROH longer than 10 Mb, indicating the occurrence of inbreeding in the last 5 generations. The mean length of the ROH per animal was 4.28 ± 1.85 Mb. Inbreeding coefficients were calculated from the genomic relationship matrix, the pedigree, and the ROH, with estimates varying between 0.242 and 0.035. Inbreeding estimates from the pedigree had a low correlation with the genomic estimates, and estimates from the genomic relationship matrix were much higher than those from the pedigree or the ROH. Signatures of selection were identified in 6 genomic regions, located on chromosomes 1, 2, 3, 5, 16, and 18, encompassing a total of 190 genes and 174 QTL. Many of the genes (e.g., APRT and ACSF3) and QTL identified are related to milk production traits, such as milk yield, milk fat yield and percentage, and milk protein yield and percentage. Other genes are associated with reproduction and immune response traits as well as morphological aspects of the buffalo species. Inbreeding levels in this population are still low but are increasing due to selection and should be managed to avoid future losses due to inbreeding depression. The proximity of genes linked to milk production traits with genes associated with reproduction and immune system traits suggests the need to include these latter genes in the breeding program to avoid negatively affecting them due to selection for production traits.