Kevin's donkeys are donkeys that he found in his Minecraft series that he randomly brought home to breed. He put them in the cow pen out of his pure amusement to torturing things. One of them randomly escaped off-screen and Kevin made sure this didn't happen by trapping him in a box.
They are obviously aware of Kevin's wishes, they try to run away whenever they can but it mostly doesn't work and he finds them again, one of the donkeys may've escaped but was replaced with another one. According to Kevin, one of them is trying to be the king of the cow pen. One of them randomly escaped off-screen and Kevin made sure this didn't happen.