The Bighorn sheep is a bighorn sheep that chased after Lisa.
The sheep chased after Lisa who took refuge in Burns Manor. It smashed trhough the window and wrecked the furniture, while Mr. Burns and Lisa were trying to hide in the Panic Room. Their attempt failed and they had to hide in the loft of the manor.
After Mr. Burns had finished telling his story, the sheep broke into the loft and Mr. Burns, trying to save Lisa, steeped into the way of the sheep and was knocked into the back wall. The sheep then turned to Lisa and gave her pearl necklace back to her. The sheep then told the story of finding the pearl necklace attached to a tree. After getting a photo of himself and a smiling kid, Mr. Burns then rode the sheep back to the Springfield Nuclear Power Plant.