Late lactation is a critical moment for making mastitis management decisions, but in small ruminants the reliability of diagnostic tests is typically lower at this stage. We evaluated somatic cell counts (SCC) and cathelicidins (CATH) in late lactation sheep and goat milk for their relationship with intramammary infections (IMI), as diagnosed by bacteriological culture (BC). A total of 315 sheep and 223 goat half-udder milk samples collected in the last month of lactation were included in the study. IMI prevalence was 10.79% and 15.25%, respectively, and non-aureus staphylococci were the most common finding. Taking BC as a reference, the diagnostic performance of SCC and CATH was quite different in the two species. In sheep, receiver operating characteristic (ROC) analysis produced a higher area under the curve (AUC) value for CATH than SCC (0.9041 versus 0.8829, respectively). Accordingly, CATH demonstrated a higher specificity than SCC (82.92% versus 73.67%, respectively) at comparable sensitivity (91.18%). Therefore, CATH showed a markedly superior diagnostic performance than SCC in late lactation sheep milk. In goats, AUC was <0.67 for both parameters, and CATH was less specific than SCC (61.90% versus 65.08%) at comparable sensitivity (64.71%). Therefore, both CATH and SCC performed poorly in late lactation goats. In conclusion, sheep can be screened for mastitis at the end of lactation, while goats should preferably be tested at peak lactation. In late lactation sheep, CATH should be preferred over SCC for its higher specificity, but careful cost/benefit evaluations will have to be made.