The regulation of sows’ metabolic state during the gestation-lactation transition is a requirement for a higher feed intake in lactation, an important aspect in improving animal welfare in current swine production systems. The present study aimed to evaluate the effects of the inclusion of different cactus (Opuntia ficus-indica L.) levels in the diet of gilts during late gestation and lactation on their biochemical parameters and voluntary feed intake during lactation. From day 85 of gestation until weaning, 40 gilts were divided into four groups: GNC (group with no cactus) with a basal diet (BD) only, G1C; group with 1% inclusion of cactus plus BD, G2C; group with 1.5% inclusion of cactus plus BD, and G3C; group with 2% inclusion of cactus plus BD. The dietary cactus supplementation increased the gilts’ feed intake (by 1.04 kg/day on average) during lactation and reduced their weight loss (4.3%) at weaning. The glucose concentrations were higher (range 73.0–83.9 mg/dL) in the GNC. The GNC had the highest triglyceride and cholesterol concentrations at day 100 of gestation. G3C had the highest osteocalcin concentration at day 100 of gestation. The highest feed intake and lowest glucose concentration were achieved with a cactus consumption of 1.04% in lactating gilts.