The present study determined the effects of live yeast (LY) supplementation during middle–late gestation and the lactation period in primiparous sows on reproductive parameters, lactation performance, and immunity, and also explores the carryover effects in their offspring. On day (d) 60 of gestation, 16 crossbred primiparous sows were randomly assigned to two dietary treatments (with or without supplementation of 425 mg/kg of live yeast; LYT and CT, respectively) homogeneous for body weight (BW) and backfat thickness. Experimental diets were applied from day 60 of gestation to the end of lactation. At weaning, 60 piglets with an average BW of each treatment were selected based on their source litter and assigned to two groups corresponding to the original treatments received by their mothers. Each group had five replicates of six piglets each and was fed a basal diet for 42 days. The results showed that LY supplementation significantly increased the serum IgA and IgG concentrations of sows at farrowing and weaning stages, and of piglets on day 14 and 28 post weaning. No significant differences were found in reproductive and lactation performance, while minor effects were observed on antioxidant capacity. In conclusion, live yeast addition during middle–late gestation and the whole lactation period resulted in enhanced immunity of primiparous sows and their offspring, therefore, improving maternal and progeny health.