We studied the effect of different levels of soybean meal (SBM) and fermented soybean meal (FSBM) on the growth performance, blood parameters and immune response of abruptly-weaned calves in cold weather. Thirty-nine Holstein calves (body weight = 39.5 ± 3.3 kg) were randomly assigned to one of three dietary treatments: 27% SBM + 0% FSBM (FSBM0, control, n = 13); 18% SBM + 9% FSBM (FSBM9, n = 13); and 13.5% SBM + 13.5% FSBM (FSBM13, n = 13) from October 2017 to January 2018. The average weekly temperature was 8.5 ± 2.3 °C (95%, confidence interval) over a period of 9 weeks (wk) of the experiment. All the calves were weaned abruptly by removing the milk meal at the age of 59 days, but remained in individual hutches until the end of the experiment. The FSBM used in our experiment had a higher crude protein content, a higher percentage of rumen-undegradable protein, and a higher percentage of small-sized peptides (consisting of 2 to 3 amino acids) than SBM. A treatment × wk interaction was detected for the average daily gain (ADG) in which FSBM13-fed calves gained the least at wk 2 of the experiment, but gained the most at wk 6, after which they gained as FSBM9-fed calves. Calves fed FSBM0 initially had the highest ADG but at the end of wk 8 and 9, gained the lowest. In addition, starter intake also showed a significant treatment × wk interaction, with FSBM13- and FSBM9-fed calves showing a higher starter intake between wk 8 and 9 than FSBM0-fed calves. Calves fed FSBM13 had a higher withers and hip height than those fed other diets. The percentage of neutrophils (NEU), neutrophil-to-lymphocyte ratio (NEU:LYM), and serum glucose concentration were higher in FSBM0-fed calves, 1 and 3 days post-weaning (DPW, 0 DPW = 59 days), but they had a lower percentage of LYM compared to FSBM13-fed calves. The white blood cells (WBCs) count also showed a treatment × wk interaction, with FSBM9-fed calves having higher WBCs between -2 and 3 DPW. The insulin concentration also exhibited a treatment × wk interaction. In this way, the FSBM13-fed calves had the lowest level of insulin, but those fed FSBM0 significantly increased their insulin level between -2 and 3 DPW. The concentrations of interleukin 1B and serum amyloid A were lower in FSBM13-fed calves than in those fed other diets. In conclusion, in this study, feeding FSBM increased calf growth performance while reducing the weaning stress via a pronounced reduction in the concentration of pro-inflammatory mediators.