We visited friends in Borrego Springs, a tiny CA town on the other side of the mountains from Palm Springs. After breakfast, we took a walk toward the mountains to our northwest. And there to our utter amazement and delight, a herd of big horn sheep came down from the top of the mountain, crossed the street, and proceeded to the golf course where they grazed, unfazed by all the attention they were garnering. Really, they came within feet of us. I hid behind a tree because they can be quite dangerous. But, oh, the sight. We will never forget it. They were eventually "driven" off by the golf course guy in a golf cart. We then got to watch them bound up the mountain from whence they came.
Because CA is a desert, these animals might be observable throughout the year. But because they are wild, it's a matter of being in the right place at the right time. Still Borrego Springs is worth the trip. There is a state park there with a great visitors center and ample places to hike and bike ride. And star gaze. It is very special.