This research evaluated the effects of energy supplementation on sheep’s feeding behavior, feed preference, and thermoregulatory responses using technical cashew nutshell liquid (CNSL) and different vegetable oils with different unsaturated fatty acid (UFA) compositions. The experiment was completely randomized with five treatments: a mixture of CNSL (0.5%) + vegetable oils [canola (high in monounsaturated fatty acids—MUFA), and corn, soybean, sunflower, or cottonseed oil (high in polyunsaturated fatty acids-PUFA) at 1.5%] based on total diet dry matter, with eight replications. Forty uncastrated male sheep, with an average initial BW of 24.44 ± 1.5 kg, were evaluated for 70 days. The CNSL + vegetable oil blend did not affect DM and neutral detergent fiber (aNDF) intake (p > 0.05). However, diets with canola oil resulted in higher SFA intake (p < 0.05) than other oils. The canola oil + CNSL blend led to a higher intake of UFA and MUFA and lower PUFA intake than other oil blends (p < 0.05). Sheep fed canola oil ruminated fewer boli per day than those fed soybean and sunflower oils. Using three sieves (pef1.18) reflected in higher sheep aNDF intake. Respiratory frequency and surface temperature of sheep were lower before feeding than 3 h after, without effects of the type of oil. Higher serum creatinine and cholesterol levels were observed in sheep fed CNSL with corn and canola oils compared to other oils. Serum calcium was lower in sheep fed CNSL with soybean and canola compared to sunflower and corn. Including CNSL with vegetable oils with different FA compositions did not affect physiological and thermographic variables. However, sheep showed better diet selectivity and lower bolus rumination with higher MUFA (canola oil) content. Including CNSL with canola oil in sheep diets is recommended, as it increases dietary energy content, enhances diet selectivity, reduces PUFA intake, and does not impact animal health.