The effects of four different-sized cages—huge (HC), large (LC), medium (MC), and small (SC) cages—on the productive performance, serum biochemical indices, and caecal microbiota composition of Roman laying hens were investigated. At 44 weeks of age, a total of 450 hens were selected and allocated to the four groups, with six replicates each. Equal stocking density (0.054 m2 per bird) was maintained among the four groups throughout the experiment, and number of birds/cage changed for each treatment. After 2 weeks of preliminary trial, the formal experiment was performed from 46 to 60 weeks of age. The laying rate and feed conversion ratio (FCR) were determined daily, antibody titres were measured every 3 weeks, and serum biochemical parameters and caecal microbiota composition were analysed at 60 weeks of age. Compared to HC and SC, the higher laying rate and lower FCR in MC and LC indicated positive effects on egg production and feed efficiency, while SC showed the highest body weight gain (p < 0.05). With increasing cage size, the serum triglycerides (TG) and total cholesterol (T-CH) levels were reduced, and serum glutathione peroxidase (GSH-Px) activity improved, where birds raised in HCs had the lowest serum TG and T-CH and the highest GSH-Px activity. Twenty-nine different phyla and 301 different genera were detected in the caecal microbiota of birds in the four groups. Methanobrevibacter was significantly higher in the SC than in the other groups (p < 0.05). Faecalibacterium was most abundant in the MC compared with the other groups (p < 0.05) and was significantly positively correlated with serum GSH-Px concentration (R = 0.214, p = 0.0017). Lactobacillus was significantly less abundant in the LC and MC than in the HC and SC groups (p < 0.05) and was significantly positively correlated with body weight (R = 0.350, p = 0.0009) but negatively correlated with laying rate and FCR. In conclusion, MC were superior to HC and LC in improving feed conversion efficiency and caecal microflora composition compared to the SC. An appropriate increase in cage size is beneficial to laying hen production and health.