From NHS:
What are the risks for pregnant women?
Infections that can affect female sheep (ewes) and which could be passed to pregnant women include:
chlamydiosis
toxoplasmosis
listeriosis
Q fever
The risks are low
These infections are uncommon in sheep and very rare in humans. The number of human pregnancies affected by contact with sheep is extremely small.
Although the risks are low, pregnant women should still avoid close contact with sheep during lambing.
Advice for pregnant women
To avoid the risk of infection, if you’re pregnant or think you might be pregnant:
do not help deliver lambs (or calves or kids)
do not milk ewes
avoid contact with aborted (miscarried) or newborn lambs, and with the afterbirth, birthing fluids or contaminated materials, such as bedding
ensure your partner washes thoroughly after contact with ewes that are lambing
clothing worn during lambing should be washed separately from other washing
Farmers are responsible for minimising the risk to pregnant women and members of their family, the public and professional staff who visit their farms.
When to get medical advice
Seek medical advice if you’re pregnant and:
you have a high temperature or flu-like symptoms
you think you may have got an infection from a farm environment
Are there risks from other animals?
Cows and goats that have recently given birth can also carry similar infections. Pregnant women should also be aware that the risk is present at other times of the year, not just during the lambing season.