I saw a post on SF&F on Chewbacca's costume which is made from yak and mohair hair but then wondered what the Ewoks' costumes were made from as they don't look like the same material.
Some type of fake fur
A listing for an offcut of an Ewok costume on The Prop Gallery describes the piece as 'fur':
This is an offcut from one of the original Ewok costumes created by the make-up department headed by Graham, Kay and Stuart Freeborn, noted contributors to the Star Wars universe.
This large offcut was surplus during the production process and to the rear features an arrow to indicate the direction of the fur and to the edges traces of white chalk where the section of material was marked out during the creation of the costume.
The costume offcut measures approximatly 14.5" x 9" at its widest points and remains in excellent condition, it represents a much finer and more impressive example of original Ewok fur than the majority of smaller swatches available on the collectors market.