Random regression analyses of weight data from birth to 396 days were done using 22 141 weight records of 1 951 Horro lambs. Six different models formed from three different orthogonal polynomial regressions (legendre scale)orders (quadratic, cubic, quartic) of fit for both additive genetic and animals’ permanent environmental effects, with assumption of either homogeneous or heterogeneous residual variance, were compared. Fixed effects of year and type of birth, sex and age of dam were fitted along with a fourth order polynomial. Both likelihood ratio test (LRT) and Akaike's Information Criterion (AIC) were used for model comparison. Model fit improved with increased order of polynomial and assumption of heterogeneity of residual variance. Components for additive genetic and permanent environmental (co)variance increased from 0.03 and 0.09 at birth to 23.8 and 37.6 at 396 days of age, respectively. The first three eigenvalues of the coefficient matrix of the additive genetic covariance accounted for about 98 % of the sum of all the eigenvalues. Heritability estimates have shown a declining and increasing trend at different parts of the trajectory, the lowest estimate being 0.14 for weight at birth while the highest being 0.36 for weight at about 390 days of age. Higher heritability estimates in previous uni- and bi-variate models and in the current study and also strong correlation with weight at early age makes weight at one year of age the most important trait to consider in improving productivity in Horro sheep.