It may well have fallen off the back of a truck (almost literally), as in left in a field from a gather and now wandering around. Does it have holes from ear tags, or never been tagged? If never tagged, most likely a lamb from this year. If tags have been removed it may well be a bottle lamb (esp if quite tame and not afraid of humans) that has outgrown its cuteness factor...
If you want to keep it, first check what the sex is, and then get it a suitable companion - two companions (as in not female if you are dealing with an entire male or even a wethered male), worm/fluke/scab-treat it straight away (and any companions too on arrival).You will need to get ear tags sorted, and if you don't have a flock of your own that could entail a considerable amount of paperwork for a lost sheep that may just keel over any minute....
So, tbh, if you have the means for home slaughter I would seriously consider it (you cannot use an abattoir without a tag and all the paperwork that comes with it), or you become a sheep farmer...