The immediate things that come to mind are worms or respiratory problems, like pneumonia.
When did you last worm them? They can get lungworm which makes them cough.
Have you vaccinated with something like Heptavac P, which protects against pneumonia?
If it is pneu, it can have them go downhill very fast. You can give them antibiotics against it, Pen and Strep is one of the better ones.
Of course, the proper advice is to talk to your vet - not least because they'll know the local conditions and what's most likely ie what your neighbour's sheep have.