This is known as "Batesian mimicry"; a harmless mimic species adapts the appearance of a "model" species that other animals including predators of the first species don't want to mess with. A rare specialization of this is Gilbertian mimicry, where a species adopts an appearance specifically related to its own predator to discourage predation.
Most Batesian examples are mimics of aposematism (warning coloration); a harmless species adapts the bright coloration that their model has developed to discourage attacks, without also adapting the feature that the model species is warning about. Predators learn that the model species stings painfully, makes them sick or just tastes really bad, and so they avoid not only the model species, but the mimic as well, not knowing (or at least not willing to take the risk) that the mimic species really is harmless (and tasty).
There are a few species that don't mimic warning coloration, but instead mimic a more "typical" coloration of a predatory species. The "brainfever bird", a species of cuckoo in India so named for its distinctive call, has adapted an adult appearance very similar to a species of goshawk called the shikra. You don't typically mess with a bird of prey, even if you're a larger bird, so the brainfever bird goes largely unaccosted by all but the largest birds of prey in the subcontinent. Similarly, the hognose snakes, especially the North American Heterodon genus, have adapted both an appearance and behavior similar to various species of rattlesnake, with the similar goal of avoiding trouble from various snake-eating predators that would really rather not have to deal with a rattlesnake bite today.
Gilbertian mimicry is rare, and involves a species specifically adapting a feature of a predatory species that discourages predation. The Wikipedia example is a species of passion flower that a species of butterfly has come to specialize in eating in their larval stage. To discourage that, the flower evolved the appearance of the butterfly's eggs already laid on the plant, discouraging butterflies from laying their own eggs for fear their young will get outcompeted by the more mature eggs.
Batesian and in fact most types of defensive mimicry work best when the mimic species is heavily outnumbered by the model species; it's less likely a predator will learn to see animals with that appearance as food, if most of the examples the predator is likely to encounter will ruin the predator's day. If the mimic outnumbers the model, the predator's more likely to happen on the mimic species the first few times, figure out they are tasty, and at least risk approaching any similar animal, learning to differentiate by other behaviors whether what they are about to eat is the mimic or model.
That is going to be the biggest problem with the widespread adoption of mimicry by sheep species as we know them. Sheep are very numerous, having adapted their own survival strategy via a strong herd mentality and mass reproduction, out-breeding predation to maintain their numbers. This is very typical prey species evolution; the predators can eat as many individuals as they can catch, the prey will still endure as a species by making more babies than the predators can eat. While Gilbertian mimicry predicts a mimic tactic in a more numerous species, its most common examples are in plant/insect interactions; animals can very rarely successfully pass for their own predator (some fish school in large groups to look like a bigger fish; that's about the only example I'm aware of and some predators play it to their advantage). The upshot is that sheep that look like wolves are going to heavily outnumber actual wolves, and with the sheep herding instincts versus the pack's looser hunting skirmish line, it's pretty easy even at animal intelligence levels for the wolf to recognize their prey animal.
The more successful strategy, at least for domestic sheep, has been for humans to breed domestic dogs to look like sheep. These sheepdog breeds, including the Great Pyrenees, Komondore, Kuvasz and others, are bred for large size, light-colored long coat, a friendly demeanor that differentiates them from more authoritative herding dogs, and good protective instincts. This allows these sheepdogs to blend into the herd until a threat like a wolf nears, at which time the domestic dogs put themselves between the wolves and the herd, at least stymieing the wolves' efforts long enough for the shepherd to close distance with their own weapons. This form of human-engineered mimicry doesn't have a name as such, as it's not the result of a true evolutionary pressure but of intentional selective breeding (and no wild animal is known to have evolved as a mimic of a model for the model's advantage; some predatory mimicry involves mimicking a model specifically to lure that model's predator as prey, but the model species rarely sees any practical benefit).