Its not a problem if they only do it once in a while, especially if it's while they are eating. Dusty or dry hay or grain can make them cough. I only worry about it if one coughs all the time, which could be pneumonia. Just keep an eye on them
Besides the Pneumonia, coughing can also be a symptom of lungworm.
A friend with some coughing sheep and lungworm problems, had their vet recommend treatment with levamisol. I believe you need to treat more than once. I am not sure what other dewormers are effective.
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