I have undertaken quite a lot of research in County Sligo for my own family, the Cliffords, and have come across the MacDonagh's many times but have little specific information to pass on to you.
The MacDonagh's are an ancient Irish family and recorded in the Connacht area of Ireland (Sligo, Roscommon, Mayo, Leitrim) from at least 1315.
You are asking for information of specific people that go quite a long way back. Do you know if these people were Protestant Methodist or Catholic? Their religion will give an indication of where to look for records.
The MacDonaghs were also land owners so the Dublin Deeds may be able to help.
There is a well researched history on the MacDonagh family in Sligo County Library but according to my record this has yet to be published. It was written by James Christopher MacDonagh who was a bank official and died in the early 1960's. It may be worth contacting them.
The book 'MacDermot of Moylurg' has some information on the MacDonagh family as they inter-married. Do you live in England? If so you can order this book through the public library. ISBN 1 873437 16 1
Some of the MacDonagh's were buried in old Kilmorgan Cemetary (Parish of Kilmorgan and Emlaghfad, Nr. Ballymote, County Sligo) where my family are buried. The Church Representative Body in Dublin will go through their records for a fee.
Do you live in Ireland? Let me know as I can guide you to places to search.
If you care to get in touch again with a little more info I shall try to help.