You will be able to obtain the first sheep on the first day of summer of year 1, for this you will have to advance through the bridge of your farm and reach the second area where the barn was originally to find it.
Come closer and press A to tame it, name it and choose which barn it can belong to.
You can also rent the sheep and their wool can be used to make threads that are used in the manufacture of fabrics.
To buy another sheep you have to pay for it 3,000G at the pet shop in Olive Town, but you can't do it until you find and tame the first one.
After introducing you to this article on how to get more sheep in Story of Seasons Pioneers of Olive Town we hope this will allow you to find and buy and tame many sheep and get the best out of the game.