Colostrum is a unique resource that contributes to the passive transfer of immunity and plays a central role in the health status of neonatal ruminants. However, digestion and absorption of colostral proteins in the gut remain incompletely understood. Therefore, this study aimed to investigate the effect of bovine colostrum feeding on blood metabolic traits and to quantify colostral bioactive proteins in the gastrointestinal digesta and blood to evaluate intestinal transfer in neonatal lambs in the first 24 h of life. Fifty-four newborn lambs were used in this study, including 27 lambs fed pooled bovine colostrum and slaughtered at 6 (C6h), 12 (C12h), or 24 h (C24h) after birth; 18 lambs not fed any colostrum or milk and slaughtered at birth (N0h) or 24 h (N24h) after birth; and 9 milk-fed lambs slaughtered at 24 h (M24h) after birth. Lambs receiving colostrum or milk were bottle-fed within the first 2 h to obtain intakes of 8% of body weight at birth. Samples of blood and digesta from the abomasum, jejunum, and ileum were collected after slaughter. Serum concentrations of glucose, insulin, total protein, and aspartate aminotransferase were higher in colostrum-fed lambs than in N0h lambs. Serum concentrations of insulin, total protein, insulin-like growth factor 1, and γ-glutamyl transpeptidase were higher in C24h lambs than in N24h or M24h lambs. Apparent efficiencies of IgG absorption in C6h, C12h, and C24h lambs were 14.4, 26.8, and 17.2%, respectively, whereas apparent efficiencies of lactoferrin (LF), α-lactalbumin (α-LA), and β-lactoglobulin (β-LG) absorption were very low in colostrum-fed lambs, with mean values of 0.06, 0.002, and 0.003%, respectively. Concentrations of IgG, LF, α-LA, and β-LG in the digesta of the abomasum, jejunum, and ileum rapidly decreased from C6h to C24h lambs, and the disappearance rates of IgG, LF, α-LA, and β-LG were higher in lambs from C6h to C12h (62.1, 75.7, 91.3, and 95.0% for IgG, LF, α-LA, and β-LG, respectively) than from C12h to C24h (34.6, 22.5, 7.5, and 2.2% for IgG, LF, α-LA, and β-LG, respectively). These results indicated that bovine colostrum feeding improved the metabolic and immunological status of lambs, and that ingested colostral IgG was prone to intact uptake into the blood, whereas almost all ingested LF, α-LA, and β-LG disappeared in the lumen of the gastrointestinal tract in a time-dependent manner. The findings provide novel information for exploring selective absorption of colostral compounds in the small intestine of lambs.