This study investigated the effect of Capsicum oleoresin in granular form (CAP) on nutrient digestibility, immune responses, oxidative stress markers, blood chemistry, rumen fermentation, rumen bacterial populations, and productivity of lactating dairy cows. Eight multiparous Holstein cows, including 3 ruminally cannulated, were used in a replicated 4×4 Latin square design experiment. Experimental periods were 25 d in duration, including a 14-d adaptation and an 11-d data collection and sampling period. Treatments included control (no CAP) and daily supplementation of 250, 500, or 1,000 mg of CAP/cow. Dry matter intake was not affected by CAP (average 27.0±0.64 kg/d), but milk yield tended to quadratically increase with CAP supplementation (50.3 to 51.9±0.86 kg/d). Capsicum oleoresin quadratically increased energy-corrected milk yield, but had no effect on milk fat concentration. Rumen fermentation variables, apparent total-tract digestibility of nutrients, and N excretion in feces and urine were not affected by CAP. Blood serum β-hydroxybutyrate was quadratically increased by CAP, whereas the concentration of nonesterified fatty acids was similar among treatments. Rumen populations of Bacteroidales, Prevotella, and Roseburia decreased and Butyrivibrio increased quadratically with CAP supplementation. T cell phenotypes were not affected by treatment. Mean fluorescence intensity for phagocytic activity of neutrophils tended to be quadratically increased by CAP. Numbers of neutrophils and eosinophils and the ratio of neutrophils to lymphocytes in peripheral blood linearly increased with increasing CAP. Oxidative stress markers were not affected by CAP. Overall, in the conditions of this experiment, CAP did not affect feed intake, rumen fermentation, nutrient digestibility, T cell phenotypes, and oxidative stress markers. However, energy-corrected milk yield was quadratically increased by CAP, possibly as a result of enhanced mobilization of body fat reserves. In addition, CAP increased neutrophil activity and immune cells related to acute phase immune response.