Transport stress can cause damage to animals. In this experiment, 60 four-month-old lambs were randomly divided into three groups: CG (basal diet), EG (basal diet + 375 mg/d/lamb electrolytic multivitamin), and NG (basal diet + 200 mg/d/lamb neomycin). The results were as follows: during road transport, in all groups, the levels of SOD, T-AOC, and GSP-Px, and mRNA expressions of CAT, SOD, Nrf2, HO-1, and Bcl-2 in the jejunum and colon decreased (p < 0.01). However, mRNA expressions of Keap1, IL-1β, IL-2, IL-12, Bax, and Caspase3 in the jejunum and colon and the level of MDA increased (p < 0.01). The concentrations of IgA, IgG, and sIgA in the jejunum and colon also decreased (p < 0.01). In the EG and NG, the levels of SOD (p < 0.05) and T-AOC (p < 0.01) increased, and the level of MDA decreased (p < 0.01). However, in the jejunum, the levels of SOD and T-AOC, the concentrations of IgA and IgG, and mRNA expression of Bcl-2 increased (p < 0.05). mRNA expressions of IL-1, IL-2, and Caspase 3 (p < 0.05), and mRNA expression of IL-12 (p < 0.01) decreased. In the colon, SOD activity and the concentration of sIgA increased (p < 0.01). The level of MDA and mRNA expressions of IL-2 and Caspase 3 also decreased (p < 0.05). In the jejunum and colon, mRNA expression of SOD (p < 0.05) and mRNA expression of Nrf2 increased (p < 0.01). mRNA expression of Keap1 (p < 0.05) and Bax (p < 0.01) decreased. In summary, road transport can cause a decrease in antioxidant activity and immunity of lambs and an increase in oxidative damage. Electrolytic multivitamins and neomycin can improve immune function and potentially reduce oxidative damage to the jejunum and colon.