The aim of the present study was to evaluate the influence of rapeseed oilcake used for feeding sheep on the content of fatty acids (FA), tocopherols, retinoids, and cholesterol of milk and cheese, and on the sensory properties of cheese. Indoor animal feeding (in winter) is the highest cost of production for cheesemakers, and the inclusion of locally produced rapeseed oilcake in the concentrate feed formulation can reduce the cost of cheese production, as long as the quality of the cheese is not altered. The experiment was carried out in March (mid lactation) with 72 Latxa sheep from an experimental farm located in the Basque Country (northern Spain). Two homogeneous groups of animals (n = 36) were set to receive each a different diet based on commercial or rapeseed concentrate, respectively, and forage (Festuca hay). Animal production parameters were individually recorded for each feeding group, whereas bulk milk from each group was used for cheesemaking trials. The rapeseed concentrate had higher amounts of unsaturated FA (mainly C18:1 cis isomers, C18:2 cis-9,cis-12 and C18:3 cis-9,cis-12,cis-15) and tocopherols than the commercial concentrate. The inclusion of rapeseed oilcake in the diet of dairy sheep did not compromise animal production parameters or milk gross composition. Bulk milk and cheese from sheep fed rapeseed concentrate showed higher content of unsaturated FA and tocopherols than those from sheep fed commercial concentrate. No differences were observed in the content of retinoid in milk and cheese between feeding groups, whereas the cholesterol content was slightly lower in cheese made with milk from sheep fed rapeseed concentrate. Thus, milk and cheese from sheep fed rapeseed concentrate had a healthier lipid profile. In addition, the inclusion of rapeseed oilcake in the diet of sheep did not change the typical sensory attributes of Protected Denomination of Origin Idiazabal cheese. Therefore, rapeseed concentrate could be a good local resource for feeding sheep to improve the nutritional quality of dairy products and to provide higher returns to farms.