It's hard to tame them at the beginning-LateMid of the game and it's hard to keep their Lamb chops from rotting. Therefore, if you see one, pick it up with an Argy and drop it in the farm you prepared in advance. He will wait for you there until you have to tame a serious predator. Don't waste it on something small like a raptor or caranturus.
The ovis is a sheep-like creature that many survivors find useful in farming. It can be found in the grasslands. While rare, it can be tamed simply by feeding it one Sweet Vegetable Cake. This sheep can be sheered with Scissors to obtain Wool, or killed to obtain Mutton. While the ovis can be mounted, it is not an ideal mount for transport and provides very little use once mounted, other than its ability to climb up steep inclines.— Smallfoot
You find them (most often) up in the north biome, at the blue obelisk. As of now, they need to be born on a ceiling (One tile above where you want them), so they will not fall into the water under the map or other unaccessible places, warning, with this method they will still fall through the ceiling, but they will fall onto the foundation underneath, allowing you to claim them there. Another warning, The baby ovis needs to be claimed immediately, or else it will die of starvation, it will also have abnormally low weight, so be sure to feed it very often.