[header] How to care for pygmy goats [title] Determine how much shelter you need. [step] To make this determination, consider the weather in your area. If you live in a mostly temperate climate, your goats may not need as substantial a shelter as other places. 
At bare minimum, you should provide a 3-sided structure that offers shelter from the sun and wind. However, if you're in an area that has severe winters, you'll need a full-on barn to protect your animals, though it can be a small one.