The purpose of our study was to investigate the effect of 0.35 mg Se/kg basal diet (BD) (Se as sodium selenate (Se6) and yeast rich in seleno-methionine (SeYe)) and 0.1% carnosic acid (CA) supplementation to the diet containing 1% fish oil (F-O) and 2% rapeseed oil (R-O) on the contents of fatty acids (FA), malondialdehyde (MDA), tocopherols (Ts), and total cholesterol (TCh) in lambs’ spleens. A total of 24 male lambs (4 groups per 6 animals) have been fed: the control diet—the basal diet (BD) enriched in F-O and R-O; the CA diet—BD enriched in F-O, R-O, and CA; the SeYeCA diet—BD enriched in F-O, R-O, CA, and SeYe; the Se6CA diet—BD enriched in F-O, R-O, CA, and Se6. Dietary modifications affected the profiles of saturated (SFA), monounsaturated (MUFA), and polyunsaturated (PUFA) fatty acids in spleens. The SeYeCA and Se6CA diets increased the docosapentaenoic acid preference in Δ4-desaturase; hence, a higher content of docosahexaenoic acid was found in the spleens of SeYe- or Se6-treated lambs than in spleens of animals receiving the CA and control diets. The SeYeCA and Se6CA diets increased the concentration ratio of n-3long-chain PUFA (n-3LPUFA) to FA (n-3LPUFA/FA) in spleens compared to the control and CA diets. The content of n-3PUFA was higher in the spleens of Se6 treated lambs than in spleens of animals receiving the SeYeCA, CA, and control diets. The Se6CA diet increased the content of c9t11CLA in the spleen compared to the control, CA, and SeYeCA diets. Experimental diets reduced the level of atherogenic FA, the content ratios of n-6PUFA/n-3PUFA and n-6LPUFA/n-3LPUFA, and improved the content ratio of MUFA/FA and the value of the hypocholesterolemic/hypercholesterolemic FA ratio in the spleen in comparison with the control diet. The experimental diets supplemented with SeYe or Se6 increased levels of TCh and Ts in spleens in comparison with the CA and control CA diets. The present studies documented that Se6, SeYe, and CA influenced the metabolism of FA, Ts, and cholesterol in spleens.