The study was carried out to evaluate the effect of energy and protein supplementation on parasitological and hematological response during peripartum and lactation of productive and non-productive Pelibuey ewes in a tropical environment. Forty-eight Pelibuey ewes aged 3–5 years and with a body weight of 31 ± 5 kg were used. Four groups of 12 ewes, including non-pregnant and productive ewes, were formed. A factorial treatment design was formulated, where two levels of energy (low, 9.6 MJ/kg, n = 24; and high, 10.1 MJ/kg, n = 24) and two levels of protein (high, 15% crude protein in diet, n = 24; and low, 8% crude protein in diet, n = 24) were studied. Fecal and blood samples were collected to determine the fecal egg count (FEC) of gastrointestinal nematodes (GIN), packed cell volume (PCV) and peripheral eosinophil (EOS) count. These variables were rearranged with respect to the lambing date in a retrospective study. The high dietary protein level had a significant effect on reducing the FEC and increasing the PCV of ewes during lactation, in comparison with animals fed with the low protein level. Differences in the study variables were attributed to physiological stage. Lactating ewes showed the highest FEC values (2709 ± 359 EPG), the lowest PCV values (21.9 ± 0.7%) and the lowest EOS (0.59 ± 0.6 Cells × 10³ µL). It is concluded that high levels of dietary protein improve the hematological response and reduce the FEC in Pelibuey ewes under grazing conditions. The non-pregnant ewes maintained some resilience and resistance to GIN infection compared to productive ewes.