The aim of this study was to investigate if the supplementation of folic acid and taurine can relieve the adverse effects of different levels of heat stress (HS) on growth performance, physiological indices, antioxidative capacity, immunity, rumen fermentation and microbiota. A total of 24 Dorper × Hu crossbred lambs (27.51 ± 0.96 kg) were divided into four groups: control group (C, 25 °C), moderate HS group (MHS, 35 °C), severe HS group (SHS, 40 °C), and the treatment group, under severe HS (RHS, 40 °C, 4 and 40 mg/kg BW/d coated folic acid and taurine, respectively). Results showed that, compared with Group C, HS significantly decreased the ADG of lambs (p < 0.05), and the ADG in the RHS group was markedly higher than in the MHS and SHS group (p < 0.05). HS had significant detrimental effects on physiological indices, antioxidative indices and immune status on the 4th day (p < 0.05). The physiological indices, such as RR and ST, increased significantly (p < 0.05) with the HS level and were significantly decreased in the RHS group, compared to the SHS group (p < 0.05). HS induced the significant increase of MDA, TNF-α, and IL-β, and the decrease of T-AOC, SOD, GPx, IL-10, IL-13, IgA, IgG, and IgM (p < 0.05). However, there was a significant improvement in these indices after the supplementation of folic acid and taurine under HS. Moreover, there were a significant increase in Quinella and Succinivibrio, and an evident decrease of the genera Rikenellaceae_RC9_gut_group and Asteroleplasma under HS (p < 0.05). The LEfSe analysis showed that the genera Butyrivibrio, Eubacterium_ventriosum_group, and f_Bifidobacteriaceae were enriched in the MHS, SHS and RHS groups, respectively. Correlated analysis indicated that the genus Rikenellaceae_RC9_gut_group was positively associated with MDA, while it was negatively involved in IL-10, IgA, IgM, and SOD (p < 0.05); The genus Anaeroplasma was positively associated with the propionate and valerate, while the genus Succinivibrio was negatively involved in TNF-α (p < 0.05). In conclusion, folic acid and taurine may alleviate the adverse effects of HS on antioxidant capacity, immunomodulation, and rumen fermentation of lambs by inducing changes in the microbiome that improve animal growth performance.