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The occurrence of co-infected hosts and questing ticks with more than one tick-borne pathogen—as in the case of <i>Anaplasma phagocytophilum</i> and <i>Borrelia burgdorferi</i> sensu lato—is expected in endemic regions. Their synergy—in terms of pathogenesis and disease severity—has been suggested previously in humans. Limited data exist on the clinicopathological alterations in co-infected sheep. In this study, we investigated the impact of <i>A. phagocytophilum</i> and <i>B. burgdorferi</i> s.l. seropositivity, alone and in combination, on the hematological parameters of naturally infected sheep. A complete blood count was performed, and indirect immunofluorescence assays were used to detect IgG antibodies against <i>A. phagocytophilum</i> and IgG and IgM antibodies against <i>B. burgdorferi</i> s.l. Single natural exposure to <i>B. burgdorferi</i> s.l. was characterized by low Packed Cell Volume (PCV) values and platelet (PLT) counts, while single exposure to <i>A. phagocytophilum</i> was characterized by low PCV values, low white blood cell (WBC) counts, and an increased risk for leukopenia and neutropenia. Co-exposure resulted in the most severe blood abnormalities; all the blood parameters decreased, and the sheep presented an increased risk for anemia. Our study showed that natural co-exposure to <i>A. phagocytophilum</i> and <i>B. burgdorferi</i> s.l. in sheep leads to more severe blood abnormalities and enhances the pathogenic processes. More studies are needed to clarify the possible background mechanisms.