Fat supplementation affects the lactational performance of goats and dramatically changes milk nutritive value. In the present experiment, two levels of Nannochloropsis oculata microalgae, a natural source of rumen-protected eicosapentaenoic acid (EPA), were studied in the diet of Nubian goats. Using quintuplicated 3 × 3 Latin square design, fifteen lactating goats, (14 ± 2 months old and 33.0 ± 1.3 kg) after kidding, were randomly assigned into three treatments in an 84-d assay. Goats were offered a basal diet comprising berseem clover, wheat straw and concentrates in 3:2:5, respectively, (control treatment-no supplementation). The other two treatments were supplemented with N. oculata microalgae at 5 g (NOM5 treatment) or 10 g (NOM10 treatment)/doe/d. Without affecting intake, treatments improved (p < 0.01) nutrient digestibility. Supplementations had no effect on ruminal pH and ammonia-nitrogen, however, NOM5 and NOM10 linearly improved (p < 0.05) total volatile fatty acids and propionic acids. N. oculata supplementation linearly increased (p < 0.01) milk yield and lactose content. Supplementation reduced atherogenic index (p = 0.004) and enhanced the concentrations of unsaturated fatty acids and C20:5n3 (EPA). Conclusively, feeding Nubian goats on diet supplemented with N. oculata at 5 and 10 g improved milk production and the nutritive value. No improvements in the performance were observed when N. oculata dose was increased from 5 g to 10 g/doe; thus, 5 g dose is recommended for use.