Oxidative stress arises when there is an imbalance between radical-generating and radical-scavenging activity; it may therefore cause an increase in oxidation products and cell damage. This study aimed to determine antioxidant status, lipid peroxidation, and their relation to anemia of grazing sheep deficient in copper (Cu). For this purpose, 39 male lambs of native (Balady) breed, aged 6–7 months and reared in El-Dakhla oasis (in the western Egyptian desert), were divided according to plasma Cu (pCu) concentration into three groups, marginally deficient (MD, pCu = 4–8 μmol/l, n = 12), functionally deficient (FD, pCu < 3 μmol/l, n = 12) and control (pCu > 9 μmol/l, n = 15). Jugular blood was sampled for determination of red blood cell count (RBC), packed cell volume (PCV), hemoglobin concentration (Hb), plasma ceruloplasmin activity (pCp), antioxidant activities of erythrocytic superoxide dismutase (eSOD), catalase (eCAT), glutathione peroxidase (eGSH-Px), and levels of erythrocytic malondialdehyde (eMDA, as a biomarker of lipid peroxidation). The Cu-deficient lambs were characterized by microcytic hypochronic anemia accompanied by decreased pCp, eSOD, eCAT and eGSH-Px activities and increased eMDA level when compared to the controls. The indices of anemia, pCp and eSOD were lower and eMDA was higher in FD compared to MD lambs. The enhanced eMDA was strongly correlated ( P < 0.01) with the inhibited activity of pCu ( r = −0.79), pCp ( r = −0.65) and eSOD ( r = −0.71) and to a lesser extent ( P < 0.05) with eGSH-Px ( r = −0.38) and eCAT ( r = −0.41). In addition, eMDA was negatively correlated ( P < 0.01) with RBC ( r = −0.75), PCV ( r = −0.69) and Hb ( r = −0.72). This study suggests that Cu-deficient lambs incur an erythrocytic oxidative damage secondary to impaired oxidant defenses, which may be one of the mechanisms underlying Cu deficiency-induced anemia in grazing sheep.