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As a light-weight natural keratin biocomposite, <i>Bovidae</i> horn exhibits high mechanical properties and energy absorption. Different to the widely studied horn from subfamily <i>Bovinae</i> and <i>Antilocapridae</i>, few studies have focused on the horn sheath of subfamily <i>Caprinae</i>. In this work, three <i>Caprinae</i> horn sheathes from Cashmere goat, White goat and Black sheep were selected. Charpy pendulum impact tests were performed, and the fracture characteristics were evaluated. It was demonstrated that water plays an important role in acquiring balanced dynamic mechanical properties in all <i>Caprinae</i> horn sheaths. The hydrated keratin provides large plastic deformation capacity and further gives rise to a gradual generation of micro-cracks. Multi-scale structure including wavy-shaped interface, scattered voids and hierarchical micro-fibre were observed. Such a structure induced complex fracture mechanisms, such as delamination, 90° crack deflection and fibre pull-out, which were probably influenced by interfacial strength. The results are expected to endow the research and thinking of <i>Bovidae</i> horn.