This study was designed to evaluate the effects of dietary coated sodium butyrate (CSB) on the intestinal antioxidant, immune function, and cecal microbiota of laying hens. A total of 720 52-week-old Huafeng laying hens were randomly allocated into five groups and fed a basal diet supplemented with CSB at levels of 0 (control), 250 (S250), 500 (S500), 750 (S750), and 1000 (S1000) mg/kg for eight weeks. The results revealed that CSB supplementation quadratically decreased the malondialdehyde content and increased the superoxide dismutase activity of the jejunum as well as the total antioxidative capacity activity of the ileum (p < 0.05). Dietary CSB supplementation linearly decreased the diamine oxidase and D-lactic acid content of the serum (p < 0.05). Compared with the control group, the addition of CSB resulted in linear and/or quadratic effects on the mRNA expression of inflammatory cytokines TNF-α, IL-6, and IL-10 in the jejunum and ileum (p < 0.05). The short-chain fatty acid concentrations increased quadratically as supplemental CSB improved (p < 0.05). Additionally, dietary CSB levels had no effect on microbial richness estimators, but ameliorated cecal microbiota by raising the abundance of probiotics and lowering pathogenic bacteria enrichment. In conclusion, our results suggest that dietary supplementation with CSB could improve the intestinal health of laying hens via positively influencing the antioxidant capacity, inflammatory cytokines, short-chain fatty acids, and gut microbiota. In this study, 500 mg/kg CSB is the optimal supplement concentration in the hens’ diet.