Cordyceps militaris (CM), a well-known parasitic fungus that grows on the larvae of Lepidoptera, has a variety of pharmacological activities. However, little is known about its safe dosage for animals, including pigs. To explore its effect on intestinal health and evaluate its safe dosage, 30 weaned pigs were randomly allotted to five groups and fed with a basal diet supplemented with different doses of CM for 42 days. The results showed that CM supplementation at 100 mg/kg increased the average daily weight gain (ADG) and significantly decreased the ratio of feed intake to gain (F:G) in the weaned pigs (p < 0.05). However, CM supplementation at a higher dose (1000 to 4000 mg/kg) had no effect on growth performance. CM supplementation at 100 mg/kg also increased the digestibility of gross energy and increased the ratio of villus height to crypt depth (V/C) in the duodenum and ileum (p < 0.05). Moreover, CM supplementation at 100 mg/kg increased the activities of catalase (CAT) and total antioxidant capacity (T-AOC), but decreased the concentration of malondialdehyde (MDA) in serum (p < 0.05). Importantly, histopathological studies of tissues (e.g., heart, liver, kidney, spleen, lungs, pancreas, thymus, mesenteric lymph nodes, stomach, and small intestine), organ indexes, major hematological parameters, and serum biochemical parameters were not affected upon CM supplementation. These results suggest that CM may have the potential to act as a safe and effective supplement to improve the growth performance and intestinal health of weaned pigs.