This study investigates two levels of dietary selenium (Se) and vitamin E in combination on their status in sows and their progeny, and influence on antioxidant status and immunological responses of the piglets at weaning. Female pigs (n = 6) were provided LOW or HIGH antioxidant nutrition (Se and vitamin E) from mating until weaning of their off-spring. The HIGH treatment elevated the concentration of Se (p = 0.015) and α-tocopherol (p = 0.023) in plasma of piglets compared with piglets of the LOW treatment. Treatments also affected the concentrations of milk and sow plasma immunoglobulins. Piglets from sows on the HIGH treatment had increased (p < 0.001) activity of glutathione peroxidase, lower serum levels of C-reactive protein (p = 0.005), haptoglobin (p = 0.05) and albumin (p = 0.05), and the number of white blood cells (p = 0.023) and the ratio of NEU to LYM was lower (p = 0.025) than in piglets from sows on the LOW group. Furthermore, the dietary antioxidant level influenced responses of cytokines (interleukine (IL) 6 (p = 0.007), 12 (p = 0.01) and 18 (p = 0.01)) in piglets’ plasma. In conclusion, improved antioxidant status via dietary maternal provision improves the robustness of the offspring via immunomodulatory mechanisms.