Here's a good example today! We just had a drop in temperature in a single day from 29C to 2C, an inch of rain and fairly high winds. Despite getting out my overalls and rain suit, I still felt it was completely awful outside - I could barely see with the rain blowing into my eyes and it felt as cold as the middle of winter from the rapid drop. Going out to check the sheep I quickly made a round of the pasture and decided to go back inside and drink tea.
However, I was not surprised to find 100% of the ewes and lambs ignoring their windbreak and the treed areas of the pasture, happily out in the open, completely soaked and vigorously chomping down the wet grass as if the sun was shining. In fact the sheep always seem to be happy in the rain, I think it keeps them cool. The midday sun usually brings them running to the corrals to lounge in the shade.
So yeah, sheep were made for bad weather!