From The Gospel of Matthew by Curtis Mitch and Edward Sri, commenting on Matthew 25:32-33:
The Son of Man’s first action is to assume the role of a shepherd who divides the sheep of his flock from the goats. It is often pointed out that Middle Eastern herdsman normally allow their animals to graze together and that sheep and goats tend to be valued equally. This makes it difficult to say for sure why the judgment is depicted as a separation of sheep from goats. Nevertheless, it is clear from the outset that the sheep represent the saints, for they are placed at the Lord’s right, which in ancient cultures represented the good, fortunate, or honorable place (see 1 Kings 2:19; Ps 110:1), while the left represented the bad, unfortunate, or dishonorable.