Early supplementation with oregano essential oil (EO) in milk replacer (MR) may improve growth, immune responses, the microbiota and the metabolome in dairy calves during pre-weaning and in adulthood. Sixteen female dairy calves (3 days of age) were divided in two groups (n = 8/group): the control group (no EO) and the EO group (0.23 ml of EO in MR during 45 days). After weaning, calves were kept in a feedlot and fed ad libitum. The animals were weighed, and blood and faecal samples were collected on days 3 (T0), 45 (T1) and 370 (T2) to measure the biochemical profile and characterise peripheral blood mononuclear cells (PBMCs; CD4+, CD8+, CD14+, CD21+ and WC1+), the metabolome and microbiota composition. The EO group only had greater average daily weight gain during the suckling (EO supplementation) period (P = 0.030). The EO group showed higher average CD14+ population (monocytes) values, a lower abundance of Ruminococcaceae UCG-014, Faecalibacterium, Blautia and Alloprevotella and increased abundances of Allistipes and Akkermansia. The modification of some metabolites in plasma, such as butyric acid, 3-indole-propionic acid and succinic acid, particularly at T1, are consistent with intestinal microbiota changes. The data suggest that early EO supplementation increases feed efficiency only during the suckling period with notable changes in the microbiota and plasma metabolome; however, not all of these changes can be considered desirable from a gut health point of view. Additional research studies is required to demonstrate that EOs are a viable natural alternative to antibiotics for improving calf growth performance and health.