In this study, the effects of melatonin treatment on growth, redox status and immunity in prenatally stressed newborn lambs were evaluated. Thirty-seven newborn lambs were allocated into two groups (melatonin-MEL and control-CON), based on whether their mothers were treated with melatonin implants or not, respectively. All pregnant ewes were exposed to heat stress. The body weight of lambs was recorded at birth (L0), and then on days 15 (L15) and 40 (L40). Redox biomarkers [total antioxidant capacity (TAC), glutathione (GSH), thiobarbituric acid reactive substances (TBARS)] were assayed in blood samples collected from lambs on days L0, L1, L2, L5, L10 and L40. Chemical analysis and antioxidant capacity were evaluated in colostrum and milk samples collected at the same time points with blood samples. Cytokines (IL-1β, IL-6, IL-10, IFN-γ) and immunoglobulin (IgG) were assayed in blood and colostrum samples collected from ewes on days L0 and L1, and in lambs’ blood on days L0, L1 and L2. The results revealed that body weight gain of newborn lambs did not differ between the two groups (p > 0.05). Better redox status was found in MEL lambs until L2, as well as higher antioxidant capacity in the colostrum of MEL ewes compared to CON ones on day L0 (p < 0.05). In MEL ewes’ colostrum, higher protein content was measured on day L0 and higher fat content on L1 compared to CON group (p < 0.05). The highest level of IL-6 was found in MEL ewes on L1, with a concomitant increase of IL-10 level in MEL lambs in comparison to CON lambs on L2. Moreover, CON colostrum resulted in a higher level of IL-10 within time, coupled with an increased level of IgG found in lambs’ plasma on L2 (p = 0.04). This study indicated that melatonin could be administered as antioxidant and immune-modulatory regime in prenatally stressed offspring in order to cope with the crucial first days of their life. This effect of melatonin was also amplified by crosstalk between IL-6, IL-10 and IgG production, resulting in an improved quality of produced milk.