This study evaluated the effects of maternal selenium-enriched yeast (SeY) supplementation during late gestation and lactation on sow performance, transfer of selenium (Se) and redox status, and gut microbiota community, as well as on the gut health of offspring. Seventy pregnant sows on day 85 of gestation were randomly allocated to the following two treatments: (1) sows who were fed a basal diet (basal diet contained 0.3 mg/kg Se as Na2SeO3, n = 35); (2) and sows who were fed a SeY-supplemented diet (basal diet with 0.2 mg/kg Se as SeY, n = 35). The offspring piglets were only cross-fostered within the group on day 3 of lactation (L3) according to the pig farm epidemic prevention policy. The plasma, milk, and feces samples from 10 sows, as well as plasma and intestinal samples per treatment, were collected on L1 and L21, respectively. Our results showed that maternal SeY supplementation increased the first week average weight and ADG of piglets (p < 0.05). Compared with the CON group, the SeY supplementation increased the Se content in the plasma and milk of sows and the plasma of piglets on L1 and L21 (p < 0.05). In addition, in sows, the levels of fat in the milk on L21, the level of IgA, T-AOC, and GSH-Px in the plasma on L21, and the level of T-AOC and GSH-Px in the colostrum were increased, while the MDA content was decreased in the plasma on L1 and in the colostrum and milk on L14 (p < 0.05). In the piglet plasma, the levels of IgA on L1 and L21, GSH-Px on L1, and GSH on L21 were increased, while the MDA content was decreased on L1 (p < 0.05). Maternal SeY supplementation up-regulated the small intestinal protein abundances of MUC1, E-cadherin, ZO-1, occludin, and claudin and activated the Nrf2/Keap1 signaling pathway in weaned offspring piglets. The 16S rRNA sequencing results showed that fecal microbiota had distinct separations during lactation, and the relative abundances of unclassified_f_Lachnospiraceae, Prevotaceae_UCG-001, and Lachnospiraceae_NK4A136_group were increased on L1. Collectively, the current findings suggest that maternal SeY supplementation during late gestation and lactation could improve the piglet’s growth performance, Se status, antioxidant capacity and immunoglobulins transfer at the first week of lactation, as well as alter the fecal microbiota composition by increasing antioxidative-related and SCFA-producing microbiota in sows. These changes contributed to enhancing the small intestinal barrier function and activating the Nrf2/Keap1 pathway in offspring.