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Simple Summary: The monitoring and analysis of sheep behavior can reflect their welfare and health, which is beneficial for grazing management. For automatic classification and the continuous monitoring of grazing sheep behavior, wearable devices based on inertial measurement unit (IMU) sensors are important. The accuracy of different machine learning algorithms was compared, and the best one was used for the continuous monitoring and behavior classification of three grazing sheep on pasture with three different sward surface heights. The results showed that the algorithm automatically monitored the behavior of grazing sheep individuals and quantified the time of each behavior. Behavior classification and recognition of sheep are useful for monitoring their health and productivity. The automatic behavior classification of sheep by using wearable devices based on IMU sensors is becoming more prevalent, but there is little consensus on data processing and classification methods. Most classification accuracy tests are conducted on extracted behavior segments, with only a few trained models applied to continuous behavior segments classification. The aim of this study was to evaluate the performance of multiple combinations of algorithms (extreme learning machine (ELM), AdaBoost, stacking), time windows (3, 5 and 11 s) and sensor data (three-axis accelerometer (T-acc), three-axis gyroscope (T-gyr), and T-acc and T-gyr) for grazing sheep behavior classification on continuous behavior segments. The optimal combination was a stacking model at the 3 s time window using T-acc and T-gyr data, which had an accuracy of 87.8% and a Kappa value of 0.836. It was applied to the behavior classification of three grazing sheep continuously for a total of 67.5 h on pasture with three different sward surface heights (SSH). The results revealed that the three sheep had the longest walking, grazing and resting times on the short, medium and tall SHH, respectively. These findings can be used to support grazing sheep management and the evaluation of production performance. [ABSTRACT FROM AUTHOR]