The gradual decline in feed resources for livestock needs alternate ways to ensure non-stop feed supply throughout the year. The objective of this study was to evaluate the impact of vegetable waste and rice straw silage (VTRS) on immune response, antioxidant status, and microbial changes in duodenum and caecum in Hu sheep. Eight healthy male Hu sheep were randomly distributed into control (fed farm roughage) and VTRS (fed vegetable waste silage) groups for 35 days. Results had shown that silage had less mycotoxin content (p < 0.05). The VTRS increased butyrate content in duodenal digesta, while acetate, butyrate, total volatile fatty acids (TVFA), and valerate were enhanced in caecal digesta (p < 0.05). The VTRS also increased amylase activity in duodenum and ileum tissues, along with GLUT2 and SGLT1 expressions. In serum, Interleukin-10 (IL-10) concentration and total antioxidant capacity (T-AOC) were increased while malondialdehyde (MDA) was decreased. An increase in T-AOC and GSH-Px activity was also observed, along with increased IL-6, immunoglobulin A (IgA), and catalase in duodenum tissue (p < 0.05). Prevotella was increased in the duodenum and caecum, with Prevotellacae UCG-001 and Christensenellacae R-7 group representing the VTRS group in the duodenum (p < 0.05). KEGG pathway prediction also indicated the enrichment of energy metabolism-related pathways. Significant microbes had shown a significant correlation with immune parameters. It can be concluded that vegetable waste silage has the ability to improve antioxidant status, enhance energy metabolism, and balance intestinal microbiota in Hu sheep.