In sheep, infection with Haemonchus contortus may increase the need for energy, and this demand may vary according to the infection level. In this study, the energy intake, digestibility, and energy retention of lambs artificially infected with different levels of H. contortus were estimated. A total of 24 hair sheep lambs reared parasite-free were experimentally infected with H. contortus at one of three infection levels: non-infected (n = 6); infected with 300 infective larvae (L3) of H. contortus/kg body weight (BW) (n = 9); and infected with 500 H. contortus L3/kg BW (n = 9). The lambs were fed for an individual weight gain of 100 g/day, and intake of organic matter (OMI) and gross energy (GEI), digestible (DEI) and metabolizable energy (MEI) were measured weekly. The digestibility of organic matter (OMD) and GE (GED) and the metabolizable energy (ME) balance adjusted to zero nitrogen balance (MEadj) were measured for each lamb during the prepatent and patent periods of infection. From day 21 post-infection (PI), the individual eggs per gram (EPG) of feces and the total number of eggs in feces (TEF) were estimated weekly. After humane slaughter on day 42 PI, the worm burden (WB) was determined. Correlation and regression analyses were performed to estimate the relationships between the parasitological variables (L3, EPG, TEF and WB) and the response variables (OMI, GEI, DEI, MEI, OMD, GED, MEadj). During the prepatent period, there were no significant relationships of L3 with the response variables (OMI, GEI, DEI, MEI, OMD, GED, ME, MEadj). Similarly, during the patent period, no relationship was evident between infection (EPG, TEF or WB) and OMI, GEI, DEI, GED, OMD, ME or MEadj. Thus, the gradient of H. contortus infection examined in the present study did not influence energy balance in hair sheep lambs, and infection did not impose any detectable energy cost. Further studies are needed to fully assess the impact of H. contortus infection on energy metabolism in hair sheep.