The early colonized gut microbiota during the newborn period has been reported to play important roles in the health and immunity of animals; however, whether they can affect the growth performance of suckling lambs is still unclear. In this study, a total of 84 newborn lambs were assigned into LF-1 (top 15%), LF-2 (medium 70%), and LF-3 (bottom 15%) groups according to their average body weight gain at 30 days of age. Fecal samples of lambs (LF) as well as feces (MF), vagina (VAG), colostrum (COL), teat skin (TEAT) samples of ewes, and the air sediment (AIR) in the delivery room were collected 72 h after birth, and then the 16S rRNA gene was sequenced on the Illumina MiSeq platform. The results showed that the early colonized gut microbiota had a significant effect on the growth performance of suckling lambs with alpha and beta diversity (p < 0.05), and we observed that the contribution of early colonized bacteria on the growth performance of lambs increased with age (from BW30 at 25.35% to BW45 at 31.10%; from ADG30 at 33.02% to ADG45 at 39.79% by measuring the relative effects of factors that influence growth performance). The early colonized gut microbiota of suckling lambs with high growth performance was similar to that in VAG, MF, and AIR (p < 0.05). With the RandomForest machine learning algorithm, we detected 11, 11, 6, and 4 bacterial taxa at the genus level that were associated with BW30, BW45, ADG30, and ADG45 of suckling lambs, respectively, and the correlation analysis showed that Butyricicoccus, Ruminococcus_gnavus_group, Ruminococcaceae_Other, and Fusobacterium could significantly affect the growth performance (BW30, BW45, ADG30, and ADG45) of suckling lambs (p < 0.05). In conclusion, the early colonized gut microbiota could significantly affect the growth performance of suckling lambs, and targeting the early colonized gut microbiota might be an alternative strategy to improve the growth performance of suckling lambs.