|The title of this article is conjecture based on information revealed in the A Song of Ice and Fire novels or related material and may be subject to change.
Sheepstealer was a wild dragon, left riderless and unclaimed on Dragonstone island for many years.
During the Dance of the Dragons, Rhaenyra Targaryen's faction - the Blacks - was based on the island, but realized that they possessed more dragons than riders. It was believed that only those of the Targaryen bloodline could successfully bond with dragons, but over the generations the Targaryens had produced numerous bastard children and grandchildren with the commoners of the isle.
Rhaenyra put out a call for any who believed they were a bastard of Targaryen blood to attempt to mount and bond the six riderless dragons, offering reward of gold and title. Many of these bastards - called Dragonseeds - died in the attempt, but ultimately four of them succeeded. Sheepstealer was claimed by the bastard girl called Nettles.
Nettles and Sheepstealer fought on Rhaenyra's side through the war, and later accompanied Rhaenyra's husband Daemon Targaryen to the Riverlands to chase after Aemond Targaryen, who rode the massive Vhagar. Daemon riding his dragon Caraxes and Nettles riding Sheepstealer spent a long time hunting Aemond but he always chose to flee their approach and attack another village elsewhere, rather than face two to one odds.
After the other dragonseeds Hugh Hammer and Ulf the White betrayed Rhaenyra at the Sack of Tumbleton, she grew to believe that all bastards are untrustworthy, and sent orders to have Nettles's severed head delivered to her - rumors that Nettles was also having a sexual affair with Daemon may have also been a factor. The letter reached Daemon first, however, and he was stunned. He sent Nettles away at dawn, riding Sheepstealer away into the mists. Meanwhile, Daemon decided to face Aemond and Vhagar in a one on one fight to the death, resulting in the death of all four combatants at the Battle Above the Gods Eye.
In the books
Sheepstealer was one of six wild riderless dragons nesting on Dragonstone when the Dance began. Of these, three were only semi-wild, in that they had been ridden before and were generally accustomed to the presence of humans - thus when Rhaenyra put out the call for Targaryen bastards to try to claim them, these dragons (Vermithor, Silverwing, and Seasmoke) only killed a few before accepting new mounts.
The other three dragons, however, had grown to adulthood never having been claimed by any rider. As a result they were much more distrustful of humans. Given that they were never claimed by riders they were also never formally named, but over the decades the commoners of the island had just applied descriptive nicknames to each: the Cannibal, the Sheepstealer, and the Grey Ghost. The oldest and largest of these was the Cannibal - with solid coal-black scales, he was greatly feared and possibly insane, and so-named because he was known to actually feast on dead dragons, hatchlings, and eggs. No one was stupid enough to try to claim the Cannibal, though he still attacked and killed some of the dragonseeds who drew too close while searching for other dragons. Grey Ghost, meanwhile, was an extremely shy and timid creature who fled at the mere sight of men in the distance; it was barely seen for years at a time, and even fed on fish out in the ocean to avoid the sight of commoners on the island. Grey Ghost wasn't dangerous like the Cannibal and some did attempt to seek him out, but simply finding him was too difficult, much less trying to ride him, and indeed he was never ridden throughout his life.
The last of the wild dragons was called "Sheepstealer" because he had a taste for mutton, and would often snatch sheep from flocks around the shores of Blackwater Bay. He could at least be approached without making him flee (like Grey Ghost) nor was he a savage monster that killed on sight (like the Cannibal) but he was still as untamed as a wild stallion. Many would-be dragon-riders died attempting to master Sheepstealer - more than died trying to mount the three semi-wild ones put together.
Many more died attempting to mount or even approach the three truly wild dragons, until the remaining volunteers despaired that it was simply impossible and gave up. Only after all the others had failed did the young teenaged girl Nettles make her attempt, using cunning and patience that the earlier dragonseeds had lacked. Rather than walk right up to the dragon, she would slaughter a sheep and leave it out every day for him to eat, patiently drawing closer every day until he became accustomed to her presence, and eventually accepted her as a rider.
Sheepstealer's scales are described as having a "mud brown" color which many found to be very ugly - compared to the beautiful shining gold scales of Sunfyre, or the lustrous reds, silvers, and blues of others. This may be one of the reasons he was never claimed as a hatchling, in favor of the others. At the time of the Dance, Sheepstealer was actually one of the older and more powerful dragons: it is said that he was hatched "when the Old King was young" - Jaehaerys I Targaryen, Rhaenyra's great-grandfather, and putting Sheepstealer around 80 years old when Nettles claimed him. Dragons always grow throughout their lives so he must have been quite large.
Nettles rode Sheepstealer into combat at the Battle of the Gullet, and then again during the fall of King's Landing to Rhaenyra (though the city fell immediately at the approach of so many dragons without much fighting). Afterwards Nettles and Sheepstealer joined Daemon Targaryen and Caraxes hunting Aemond Targaryen in the Riverlands, who was using the huge Vhagar to burn out every village he could find. They played a game of cat and mouse for months, as Rhaenyra held King's Landing for about half a year, but Aemond had the sense not to try Vhagar's luck in a two-on-one fight against two other larger and older dragons.
It is unconfirmed if Daemon was actually having an affair with Nettles, though they did grow close - given their age difference it is not impossible that Nettles was actually Daemon's own bastard daughter but he never told anyone about it. Whatever the case, after the betrayal of Hugh Hammer and Ulf the White, Rhaenyra sent a letter to Maidenpool calling for her head, but Daemon received the letter first and sent her away, while he turned to face Vhagar alone at Harrenhal.
Curiously, nobody really knows what happened to Nettles and Sheepstealer after they left Maidenpool: they simply disappeared, and took no further part in the war again. Sheepstealer is stated to be one of only four dragons left alive at the end of the conflict: the others were Morning (hatched late in the war), Silverwing (who had gone mad with grief), and the Cannibal (who had also, mysteriously, disappeared). His death may have later been confirmed given that all dragons are stated to have died within the next two decades of Aegon III's reign. Another possibility is that he was simply assumed to be dead (though dragons can live for about two centuries). The most common assumption is that in grief, Nettles simply committed suicide by flying Sheepstealer out over the open ocean, never turning around, until he was too tired to fly back to land and they both drowned.
The World of Ice and Fire sourcebook (2014) gives a hint: it mentions in passing that among the Hill tribes of the Vale that live in the isolated heights of the Mountains of the Moon, the Burned Men formed by splitting off from another tribe some time right after the Dance - when they started worshipping a "fire-witch" and her dragon who had settled up in the seclusion of the mountains. The Mountains of the Moon are immediately north of Maidenpool.
Meleys · Meraxes · Morghul · Seasmoke · Sheepstealer · Shrykos · Silverwing · Sunfyre
Stormcloud · Syrax · Tyraxes · Valryon · Vermax · Vermithor · Vermithrax · Vhagar