Parasitism with gastrointestinal nematodes (GIN) is a worldwide issue impacting negatively on animal production, health, and welfare. Therefore, early diagnostic signs of parasitism are required to allow for timely interventions. The objective of this study was to evaluate the behavioural and physiological changes in lambs associated with GIN infection. We used 30, 8-month-old Romney-cross wethers, that were administered anthelmintics until faecal egg counts (FEC) were zero and housed in an indoor facility. The study lasted 9 weeks, which comprised a 3-week pre-treatment, and a 6-week treatment phase. Lambs were randomly assigned to one of two treatments (n = 15/treatment) trickle-dosed with: 1) 1500 infective third stage larvae (L3) three days/week for 6 weeks (27,000 total L3; challenged), or 2) water 3 days/week for 6 weeks (control). Within each pen there were 5 pairs of lambs (balanced for liveweight), with each pair comprising a challenged and control lamb. Blood, faecal, and saliva samples were collected 1 week pre-treatment and weekly for 6 weeks of treatment. Behaviour was observed (e.g., feeding, lying, standing) from video-camera recordings using scan sampling every 5 min for 8 h, 1 day pre-treatment and on the day immediately prior to physiological sampling across the 6-week treatment phase (7 days in total). Accelerometers were attached to each lamb to continuously monitor behaviour from 3 weeks pre-treatment and for the remainder of the study. Liveweight, body condition, faecal soiling and faecal consistency scoring were performed weekly as was lipidomic analysis of plasma samples. From week 2 of treatment, challenged lambs spent less time feeding and more time lying than control lambs until week 5 of treatment (P ≤ 0.01). At week 3 of treatment, elevated lipids (mainly triglycerides and phospholipids), loose faeces and faecal soiling around the anus were observed in challenged lambs compared with controls (P ≤ 0.05). From week 4 of treatment, FEC were elevated in the challenged compared to control lambs (P ≤ 0.05). There was also lower liveweight gain at 4 and 5 weeks of treatment in the challenged lambs compared with control lambs (P ≤ 0.05). These results show a clear timeline of changes in behaviour (e.g., feeding and lying), lipids such as triglycerides, and digestive function (e.g., faecal soiling) suggestive of GIN subclinical disease, which show promise for use in future studies on early identification of subclinical GIN parasitism in lambs.