Firstly, this study was designed to determine the optimal ultrasound‐assisted extraction parameters of Saccharomyces boulardii yeast wall polysaccharides (BYWP). Besides, the molecular weight and the ratio of mannose to glucose in compositions of BYWP were determined. Also, the effects of BYWP on the gain feed ratio, diarrhea frequency, intestinal morphology, intestinal immunity, and intestinal microbial flora of early‐weaned lambs were investigated. Single‐factor tests and Response surface optimization analysis (RSA) were used to obtain the optimal ultrasound‐assisted extraction conditions. Sephadex G‐100 column chromatography and liquid chromatography were used to analyze the molecular weight and ratio of mannose to glucose. The feeding trial was used to observe the biological functions of BYWP on early‐weaned lambs. A total of 72 36‐day‐old crossbred early‐weaned lambs were randomly divided into 4 groups with 3 replicates per group and 6 lambs per replicate. Lambs in the four treatments were fed basal milk replacer without supplement (Group I), basal milk replacer+0.1% BYWP (Group II), basal milk replacer+0.3% BYWP (Group III), and basal milk replacer+0.5% BYWP (Group IV), respectively. The optimal ultrasound‐assisted extraction parameters were as follows: NaOH addition: 52.63%, ultrasonic power: 143.15 W, ultrasonic time: 86.20 min, and the optimized extraction yield reached 37.54%. The molecular weights of main components BLC‐1 and BLC‐2 were 164.68 KDa and 13.21 KDa, and their proportions in BYWP were 24.57% and 66.08%, respectively. The proportions of glucose, mannose in BLC‐1 and BLC‐2 were 47.68%, 39.18%, and 76.59%, 6.86%, respectively. The addition of 0.3% and 0.5% BYWP in basal milk replacer significantly increased the average daily gain and feed conversion rate, and decreased the average fecal index and diarrhea rate of early‐weaned lambs. The addition of 0.3% and 0.5% BYWP significantly enhanced the intestinal morphology (villus height, crypt depth, and V/C value) of jejunum, ileum (p < .05). The addition of 0.3% and 0.5% BYWP significantly improved the levels of SIgA and IL‐10, but significantly decreased the level of IL‐1 in the ileum (p < .05). The addition of 0.3% and 0.5% BYWP significantly increased the number of Lactobacillus, but significantly suppressed the growth of Salmonella and Clostridium perfringens (p < .05). The results of the present study suggest that the supplementation of BYWP in the diet of early‐weaned lambs could increase feed utilization rate, and enhance intestinal morphology, immunological competence, microbial flora balance, and decrease the rate of diarrhea occurrence.