Some nationalities (for example New Zealand and Wales) are the butt of jokes about bestiality, especially with sheep. What lead to this?
As feudalism died and common men began to build themselves up in business, large scale sheep farming was a very popular way to riches. Sheep are cheap individually and prolific breeders, so men bred more and more sheep to expand and with the discovery and settlement of Australia and New Zealand, we now had great swathes of land ideally suited to carrying millions of sheep. Obviously with flocks that massive, it's a full-time job looking after them. These stock men would be out there with the sheep all day and all night, so you can see how those rumours emerged. Why sheep? I know as I am a shearer, that sheep can be manhandled (I know what you're thinking, but NO, not I) as opposed to larger animals, say, cattle. No one ever accused a cowboy, as it's obvious the animal will not take kindly to it. As expanding your flocks is the way to fortune, such men take an appropriate interest in breeding, too. As for Wales, I think it has to do with it being a remote, mountainous area which engages in a lot of sheep raising. It's how clueless, clean city folk put down the hardworking countrymen who keep them eating.
Congratulations, you asked a question about sheep-shagging and got a serious answer.