The objective of this study was to evaluate the effects of vegetable oil supplementation of ewe diets on the performance and fatty acid (FA) composition of their suckling lambs. Forty-eight pregnant Churra ewes (mean BW 64.3 ± 0.92 kg) with their 72 newborn lambs (prolificacy = 1.5) were assigned to one of four experimental diets, supplemented with 3% of hydrogenated palm (PALM), olive (OLI), soya (SOY) or linseed (LIN) oil. Lambs were nourished exclusively by suckling from their respective mothers. Ewes were milked once daily, and milk samples were taken once a week. When lambs reached 11 kg, they were slaughtered and samples were taken from musculus longissimus dorsi (intramuscular fat) and subcutaneous fat tissue. No changes were observed in milk yield, proximal composition or lamb performance (P > 0.10). Milk and lamb subcutaneous and intramuscular fat samples from the PALM diet had the highest saturated fatty acid concentration, whereas those of the OLI, SOY and LIN diets had the lowest (P < 0.05). The greatest monounsaturated fatty acid concentration was observed in milk from ewes fed OLI, and the least in milk and in lamb subcutaneous and intramuscular fat samples from LIN and PALM diets. Milk and lamb fat from ewes fed PALM displayed the highest 16:0 proportion and the lowest 18:0 (P < 0.05). There were higher concentrations of cis-9 18:1 in OLI samples (P < 0.05), more 18:2n-6 in SOY lambs and milk fat (P < 0.001) and the highest levels of 18:3n-3 and 20:5n-3 in LIN samples (P < 0.01). Milk and lamb subcutaneous and intramuscular samples from SOY and LIN diets contained the most cis-9, trans-11 conjugated linoleic acid, whereas PALM samples had the least (P < 0.01). Sheep diet supplementation with different oils, constituting up to 3% of their diets, resulted in changes in the FA composition of milk and the subcutaneous and intramuscular fat of suckling lambs, but did not affect either milk production or lamb performance.