This study investigated the effect of supplementation of ewes with calcium (Ca) and magnesium (Mg) in late gestation and early lactation on the plasma mineral concentration, hormone profile and immunity responses of ewes and their lambs. Twin bearing ewes were allocated between four dietary treatment groups (n = 11 per treatment): control (0.33% DM Ca and 0.28% DM Mg); high Ca (0.72% DM Ca and 0.28% DM Mg); high Mg (0.33% DM Ca, 0.48% DM Mg); and high Ca+Mg (0.66% DM Ca and 0.47% DM Mg), offered as part of a whole ration. Ewes were fed the treatment supplement from around one month prior to lambing to one month after lactation. Blood and urine samples were collected at seven time-points: weekly starting at 5 weeks prior to lambing; within 12 h post lambing (+12 h); and then at fortnightly intervals at 2 week (+2 W) and at 4 week (+4 W) post lambing. Colostrum/milk samples from ewes and blood samples from lambs were collected at +12 h, +2 W and +4 W. Live weight of lambs were measured at +12 h, +2 W and +4 W. The plasma concentration of PTH, 1,25(OH)2D3 and 25(OH)D3 was lowest at +2 W (P ≤ 0.002). Ewes from the Ca+Mg group had the lowest mean concentration of 1,25(OH)2D3 than the other groups (P = 0.005). Magnesium supplementation improved the plasma Mg concentration over time in ewes (P < 0.001) and lambs from the control group had lower plasma Mg concentration compared to the treatment groups at +4 W (P = 0.001). Oxidative burst response in lambs supplemented with Ca tended to be greater at +4 W than the other groups at the same time point (P = 0.051) and Mg supplementation increased total antioxidant capacity (TAC) concentration in lambs (P = 0.040). The average daily weight gain of lambs was 204 g/lamb/d for the Ca group, 207 g/lamb/d for the Mg group, 245 g/lamb/d for the Ca+Mg group which were greater than the control group (148 g/lamb/d) (P < 0.001). Despite the normal concentration of Ca and Mg in the plasma, supplementation of ewes with Ca and Mg from one month prior to lambing to one month post lambing improved TAC concentration and weight gain in lambs.