Wool growth in Merino sheep demands a high level of sulphur amino acids, competing with body growth and the immune system, which may play a role in increasing the risk of lamb mortality. The hypothesis that dietary supplementation of methionine (Met) to Merino ewes during the late stages of pregnancy will improve foetal growth and alter immune competency of ewes and lambs was tested in a total of 120 grazing, pregnant Merino ewes. Sixty ewes were group-supplemented with 6.3 g/d rumen-protected Met (Met-Plus) per sheep from day 111 of pregnancy until day 7 after lambing, and the other 60 animals were used as a non-supplemented Control. Lambs from Met-supplemented ewes tended to be 10% heavier than Control lambs (p = 0.10), which did not affected the survival rate at weaning significantly. The supplemented ewes had slightly higher concentrations of total glutathione (GSH) in plasma at lambing (p < 0.06), but there were no differences between 1 and 3 months post-lambing in GSH, glutathione disulphide (GSSG) and the GSSG:GSH ratio. The GSSG:GSH ratio in the blood of ewes was elevated at lambing (p < 0.05), hinting that ewes were undergoing increased oxidative stress. The Met supplementation elevated the total IgG concentration (p < 0.05) in lambs aged 4 and 6 weeks, but did not change the IgG concentrations in colostrum and in plasma of 1-week-old lambs, and white blood cell counts and leukocyte types. The trend towards higher lamb birth weights in the Met-supplemented group requires further investigation as this may influence survival at birth and weaning.