Sheep are mundane, non-magical animals known to both the Muggle and Wizarding world. They are livestock animals primarily valued for their wool, meat, and milk. Within the context of the Harry Potter series, sheep do not possess any known magical properties and their sole significant appearance is as part of a magically-created environment. They are sometimes confused with the goats associated with Aberforth Dumbledore.
The only direct and explicit mention of sheep in the novels occurs during the imprisonment of Alastor Moody.