The objective of this study was to evaluate oxidative stress in lambs experimentally infected with Haemonchus contortus and supplemented with selenium and vitamin E. Twenty male Corriedale lambs were divided into four experimental groups with five animals each: G1 consisted of animals infected and supplemented with 0.2 mg/kg of live weight (LW) sodium selenite by intramuscular injection (IM); G2 consisted of animals infected with larvae and supplemented with 0.2 mg/kg LW sodium selenite IM and 2000 IU per animal of Vitamin E IM; G3 consisted of animals infected with larvae and supplemented with 2000 IU per animal of Vitamin E IM; and G4 consisted of animals infected with larvae. The animals were infected orally with 500 H. contortus larvae (L3) every 48 hours for 20 days. For biochemical analyses and eggs per grams of feces (EPG) evaluation, blood and feces were both collected at zero (T0), 20 (T1), 40 (T2) and 60 (T3) days. The weight of the animals was also measured at these times. Lower TBARS values were observed in the supplemented animals compared to the control group. The groups supplemented with Selenium exhibited blood GSH-Px activity higher than that of non-supplemented animals. Supplementation with selenium provided greater antioxidant protection against oxidative stress generated from experimental infection of lambs with H. contortus.