α-Lipoic acid (α-LA) was usually applied to improve the ability of removing the reactive oxygen species of host. The affection of α-LA on ruminants was mainly focused on the variation of serum antioxidant and immune indexes, but the research on tissues or organs remained limited. The aim of this study was to explore the effects of dietary supplementation with different levels of α-LA on growth performance, antioxidant status, and immune indexes of serum and tissues in sheep. One hundred Duhu F1 hybrid (Dupo♀ × Hu sheep♂) sheep aged 2 to 3 mo with similar body weight (27.49 ± 2.10 kg) were randomly allocated into five groups. Five diets supplemented with 0 (CTL), 300 (LA300), 450 (LA450), 600 (LA600), and 750 (LA750) mg/kg α-LA were fed to sheep for 60 d. The results showed that α-LA supplementation significantly increased the average daily feed intake (P < 0.05); however, no significant variation was found in the average daily gain, feed conversion rate, carcass weight, and slaughter rate among groups (P > 0.05). Compared with CTL group, superoxide dismutase (SOD), catalase (CAT), and glutathione peroxidase (GSH-Px) activities in serum of LA600 and LA750 groups were increased (P < 0.05). At LA450-LA750 groups, SOD, CAT activities in liver and ileum tissues and GSH-Px activities in ileum tissues were increased than CTL group (P < 0.05), while malondialdehyde (MDA) contents in serum and muscle tissue were decreased than CTL group (P < 0.05). The total antioxidant capacity contents in liver, muscle, and ileum tissues of LA600 group were increased compared with CTL group (P < 0.05). Additionally, the interleukin-10 (IL-10) contents of serum in LA450-LA750 groups were increased than CTL group (P < 0.05); the contents of interleukin-1β (IL-1β) in serum, interleukin-2 (IL-2) in liver, and interleukin-6, IL-1β in muscle were decreased than CTL group (P < 0.05). The content of immunoglobulin A in serum of LA600 group, ileum, and muscle of LA750 group was increased than CTL group (P < 0.05). Based on the quadratic regression analysis of GSH-Px, MDA, IL-2, IL-10, and IL-1β, the optimal dietary α-LA levels were estimated to be 495.75, 571.43, 679.03, 749.75, and 678.25 mg/kg, respectively. This research will provide certain contribution for the effective utilization of α-LA in sheep production.