This exploratory study was designed to investigate associations between AM-containing high-concentrate diets and immune markers in Dumeng lambs and to generate hypotheses regarding concurrent changes in rumen fermentation, liquid-associated rumen microbial community structure, and metabolic profiles. Eighteen healthy male Dumeng lambs were randomly assigned to three groups with six lambs per group (n = 6). The CON group served as the control, while the T1 and T2 groups were supplemented with 1% and 2% AM, respectively. The results showed that compared with CON, lambs fed AM-containing diets had higher ruminal NH₃-N (10.88 vs. 12.01 and 12.10 mg/100 mL, p < 0.01) and TVFA (73.78 vs. 85.39 and 87.22 mmol/L, p < 0.05) concentrations, lower acetate proportion (52.16% vs. 47.64% and 46.55%) and acetate-to-propionate ratio (p < 0.01), and higher butyrate proportion in the 1% and 2% AM groups (5.58% vs. 8.55 and 9.31%, p < 0.01). Endpoint-level immune effects survived BH-FDR correction (q < 0.05); Tukey-adjusted pairwise comparisons showed that T2 lambs had lower IL-6 (58.97 vs. 91.35 pg/mL), TNF-α (137.80 vs. 182.38 pg/mL), rumen LPS (109.33 vs. 141.25 ng/mL), and serum LPS (59.67 vs. 81.07 ng/mL), and higher IL-10 (123.14 vs. 87.88 pg/mL), TP (73.50 vs. 67.72 g/L), ALB (28.69 vs. 24.47 g/L), IgA (15.42 vs. 8.52 μg/mL), and IgG (18.38 vs. 11.73 μg/mL) than CON. Exploratory 16S rRNA analysis showed nominally lower Proteobacteria and higher Shuttleworthia in T2; however, no taxon survived BH-FDR correction (q ≥ 0.05), and ANCOM W and LEfSe LDA results are exploratory sensitivity findings only. Exploratory metabolomics suggested associations with purine and nucleotide metabolism; KEGG analysis used uncorrected p values and is hypothesis-generating only. These correlational findings indicate that AM-containing high-concentrate diets are associated with changes in several immune markers; because diets also differed in ingredients other than AM, causality, clinical benefits, and the independent effect of AM remain to be established.