The Gage Lands Sheep Pen was constructed by Daniel Gregg in the early 19th century; the Gregg family were among the earliest settlers of Windham. The stonewalls surrounding the pen were just a fraction of the miles of stonewalls built during the height of the Merino Sheep Craze. When the first Merino sheep were imported from Spain in the first quarter of the 19th century, New England farmers were quick to realize their wool was superior to that of the sheep that had been raised in the area for centuries. Just a few decades into the craze there were an estimated 400,000 sheep in New Hampshire. Eventually the wool market in New England declined, leaving many abandoned or repurposed pens. In 1935 the Gage Lands Sheep Pen was designated as a town owned forest, and just over eighty years later was named a Historic District.