Cold conditions in northern China during winter may reduce sheep growth and affect their health, especially if they are young, unless housing is provided. We allocated 45 two-month-old female lambs to be housed in an enclosed building, a polytunnel, or kept outdoors, for 28 days. The daily weight gain and scalp and ear skin temperature of outdoor lambs were less than those of lambs that were housed in either a house or polytunnel; however, rectal temperature was unaffected by treatment. There was a progressive change in blood composition over time, and by the end of the experiment, outdoor lambs had reduced total antioxidant capacity (T-AOC), catalase (CAT), glutathione peroxidase (GSH-Px) and total superoxide dismutase (T-SOD) and increased malondialdehyde compared to those in the house or polytunnel. In relation to immune responses in the lambs’ serum, in the polytunnel, immunoglobulin A (IgA), tumor necrosis factor-α (TNF-α) and interleukin-4 (IL-4) were higher and immunoglobulin G (IgG) lower compared with the concentrations in lambs that were outdoors. Over the course of the experiment, genes expressing heat shock proteins and antioxidant enzymes increased in lambs in the outdoor treatment, whereas they decreased in lambs in the indoor treatments. It is concluded that although there were no treatment effects on core body temperature, the trends for progressive changes in blood composition and gene expression indicate that the outdoor lambs were not physiologically stable; hence, they should not be kept outdoors in these environmental conditions for long periods.