This study aimed to determine the impact of sesame meal, selenium (Se), and vitamin E (VitE) on goats’ oxidative status. Thirty mid-lactation crossbred goats were divided into five homogeneous groups, and were fed 1 kg of alfalfa hay and 1.2 kg of concentrates daily. The control group (C) received a basal diet. In the concentrates of the treated groups, 10% of the soybean meal was replaced by sesame meal and no extra VitE or Se (SM), or an extra 60 mg of VitE (SME), or 0.1 mg organic Se (SMSe), or their combination (60 mg VitE and 0,1 mg organic Se/kg of concentrate (SMESe). In the plasma of the goats, the dietary treatments did not affect glutathione reductase, glutathione peroxidase, glutathione transferase, catalase, superoxide dismutase activities, malondialdehyde (MDA) content, or the total antioxidant capacity. A reduction and a trend for lower protein carbonyls content was found in goats fed SM (p = 0.03) and SME (p = 0.06) compared to SMESe. In the milk, the lactoperoxidase activity decreased with SMSe and SMESe. A numerical decrease in the total antioxidant capacity and an increase in the MDA content in the milk of the SMESe group compared with the other treated groups was found. In mid-lactation goats, SM improves the oxidative status of both the organism and the milk.