We study certain moduli spaces of sheaves on Enriques surfaces thereby obtaining, in every odd dimension, new examples of Calabi-Yau manifolds. We describe the geometry (canonical bundle, fundamental group, second Betti number and certain Hodge numbers) of these moduli spaces showing, in partial analogy to the well-known case of sheaves on K3 or Abelian surfaces, how the geometry of the surface reflects that of the moduli space itself.2010 Mathematics Subject Classification. 14D22 and 14J28.