Yes, the he- and she- prefixes are used sometimes for some species of animals. Goats are probably referred to more often as billy goat (male) and nanny goat (female). Wolves can be called dog and bitch (just as with domestic dogs) but that could be confusing. When the difference is important, then he-wolf and she-wolf will work, but she-wolf is far more common than he-wolf. Male wolves are often just "wolves".
When it comes to humans, if it is relevant, the adjectives "male" and "female" would be the best.

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