Sulla is a tanniferous legume species largely used as fresh or preserved forage in the ruminants’ diets. Due to its content in polyphenols with antioxidant activity, especially condensed tannins (CT), fresh sulla forage (FSF), when eaten by ruminants, is able to enrich animal products with antioxidant molecules and polyunsaturated fatty acids (PUFA) that are beneficial for consumers’ health. Dehydration represents a valid alternative to haymaking to preserve these properties also in periods when FSF is unavailable. In this research, the effects of ewes’ diets based on sulla hay (SH), pelleted dehydrated sulla forage (DSF) or FSF were evaluated on cheese physico-chemical traits, including fatty acid (FA) profile, vitamins A and E, polyphenols, antioxidant capacity and oxidative stability. The individual daily milk from 10 first lambing (FL) and 10 third lambing (TL) Valle del Belìce ewes at about 60 days in milk, divided homogeneously into 5 groups fed different diets in a partial 5 × 2 Latin square design with 2 phases, and the bulk milk of farming ewes fed only on natural pasture, were used in 2 sessions of micro cheese-making to manufacture cheeses, sampled at 48 h of ripening. The experimental diets were: SHL = SH ad libitum; DSF2 = 2 kg/day DSF per head plus SH ad libitum; FSF2 = 2 kg/day FSF per head plus SH ad libitum; FSF4 = 4 kg/day FSF per head plus SH ad libitum; FSFL = FSF ad libitum. Concentrate was supplied at the amount of 0.8 or 1.2 kg/day per head for FL and TL, respectively. Cheese health properties greatly improved with FSFL diet, based on the exclusive use of fresh forage, that induced the increase in the content of molecules with antioxidant activity, as vitamin A, vitamin E and polyphenols, enhancing the oxidative stability, and the level of PUFA as rumenic acid (C18:2 c9t11) and α-linolenic acid (ALA, C18:3n-3). Cheeses from the DSF2 group showed levels of vitamin A, vitamin E and PUFA higher than SHL cheeses and comparable to those of FSF4 cheeses, whereas their ALA content was not different from that of FSFL cheeses. Evaluating those molecules affected by the level of fresh forage in the diet for their ability to trace the animals’ feeding regime, ALA and its ratio with linoleic acid (LA, C18:2n-6) (LA/ALA) exhibited an effective role as biomarker in discriminating cheese from animals fed fresh forage-based diets. The results showed how dehydrated sulla pellets, as an alternative to hay in periods of limited availability of fresh forage, can preserve the nutritional and health properties of dairy products with regards to their antioxidant capacity and FA profile.