The administration of yeast products as feed additives has been proven to beneficially affect animal productivity through energy, oxidative, and immune status improvement. This study evaluated a combination of Saccharomyces cerevisiae live yeast (LY) with yeast postbiotics (rich in mannan-oligosaccharides (MOS) and beta-glucans) and selenium (Se)-enriched yeast on ewes’ milk performance and milk quality, energy and oxidative status, and gene expression related to their immune system during the peripartum period. Ewes were fed a basal diet (BD; F:C = 58:42 prepartum and 41:59 postpartum) including inorganic Se (CON; n = 27), the BD supplemented with a LY product, and inorganic Se (AC; n = 29), as well as the combination of the LY, a product of yeast fraction rich in MOS and beta-glucans, and organic-Se-enriched yeast (ACMAN; n = 26) from 6 weeks prepartum to 6 weeks postpartum. The β-hydroxybutyric acid concentration in the blood of AC and ACMAN ewes was lower (compared to the CON) in both pre- and postpartum periods (p < 0.010). Postpartum, milk yield was increased in the AC and ACMAN Lacaune ewes (p = 0.001). In addition, the activity of superoxide dismutase (p = 0.037) and total antioxidant capacity (p = 0.034) measured via the 2,2-Azino-bis (3-ethylbenzthiazoline-6-sulfonic acid) (ABTS) method was increased in the blood plasma of the ACMAN postpartum. Higher ABTS values were also found (p = 0.021), while protein carbonyls were reduced (p = 0.023) in the milk of the treated groups. The relative transcript levels of CCL5 and IL6 were downregulated in the monocytes (p = 0.007 and p = 0.026 respectively), and those of NFKB were downregulated in the neutrophils of the ACMAN-fed ewes postpartum (p = 0.020). The dietary supplementation of ewes with yeast postbiotics rich in MOS and beta-glucans, and organic Se, improved energy status, milk yield and some milk constituents, and oxidative status, with simultaneous suppression of mRNA levels of proinflammatory genes during the peripartum period.