To investigate the effects of lipid sources on growth performance and intestinal health, 72 weaned pigs were randomly allocated to three treatments. Pigs were fed with a corn–soybean meal diet containing 2% soybean oil (SO), or fish–palm–rice oil mixture (FPRO), or coconut–palm–rice oil mixture (CPRO). The trial lasted for 28 days; blood and intestinal tissue samples were collected. The results showed that the crude fat digestibility of the FPRO group was higher than that of the SO and CPRO groups (p < 0.05). The FPRO group also had higher digestibility of dry matter, ash, and gross energy than the SO group (p < 0.05); compared to the SO group, the serum interlukin-6 (IL-6) concentration was decreased. Interestingly, the FPRO and CPRO groups had higher villus height than the SO group in the jejunum and ileum, respectively (p < 0.05). Moreover, the FPRO group had higher Lactobacillus abundance than the SO group in the colon and cecum (p < 0.05). Importantly, the expression levels of tight junction protein ZO-1, Claudin-1, and Occludin in the duodenal and ileal mucosa were higher in the FPRO group than in the SO and CPRO groups (p < 0.05). The expression levels of nutrient transporters such as the CAT-1, PepT1, FATP1, and SGLT1 were higher in the FPRO group than in the SO group (p < 0.05). The improved digestibility and intestinal epithelium functions, as well as the reduced inflammatory cytokines, in the FPRO and CPRO group suggest that a mixed lipid source such as the FPRO deserves further attention.