(1) Background: The weaning period is a very important stage in the pig life, as during weaning, the animals are very susceptible to pathogens and develop postweaning diarrhoea. The aim of our study was to counteract weaning stress and to improve piglets’ gut health by using a nutritional intervention consisting of a mix of agro-industrial wastes (grapeseed, flaxseed and sea blackthorn meals) rich in omega-3 PUFA. (2) Methods: Twelve cross-bred TOPIG hybrid piglets with an average body weight of 11.25 kg were randomly distributed to one of the two experimental groups: a control group fed basic corn soybean diet (control diet) and an experimental group fed a diet with a 10% mixture of grapeseed, flaxseed and sea buckthorn meals in a ratio of 3:4:1 (GFS diet). (3) Results: the GFS diet had no effect on the performance, biochemical parameters or the total antibody synthesis. GFS diet was able to significantly reduce the concentration of proinflammatory cytokines IL-1 beta and TNF-alpha and to significantly increases the expression of junction proteins (occludin, claudin 4, claudin 7 and extracellular protein matrix) at the gene or protein level as compared with control. The presence of GFS in the diet increased the abundance of Bifidobacterium and Lactobacillus species in the colonic content as well as the concentration of propionic and butyric acids. (4) Conclusions: Taken together, our results showed that agro-industrial wastes rich in omega-3 PUFA can be used as an ecological, environmentally friendly nutritional intervention for improving the negative effects associated with the weaning stress.