Aiming to improve milk quality and animal health, the effects of the inclusion of sunflower oil with added organic selenium (Se) and vitamin E in the diets of lactating cows were evaluated. Twenty-four multiparous lactating Jersey cows were randomly enrolled into four treatments: CON (control); SEL [2.5 mg organic Se kg−1 dry matter (DM) + 1000 IU vitamin E daily]; SUN (sunflower oil 3% DM); and SEL + SUN (sunflower oil 3% DM + 2.5 mg organic Se kg−1 DM + 1000 IU vitamin E daily). The experimental period was 12 weeks with 14 days for acclimation. Cows were milked twice a day. Dry matter intake, milk production, and composition were measured daily and analyzed in a pooled 4-week sample. On day 84, white blood cell counts, as well as serum and milk Se and vitamin E levels, were assessed. Supplementation with selenium and vitamin E alone or combined with sunflower oil increased milk production, and increased the serum and milk concentrations of those nutrients. The inclusion of sunflower oil reduced fat content and DM intake but also altered the milk fatty acid profile, mainly increasing levels of trans 11 C18:1 (vaccenic) and cis 9 trans 11 conjugated linoleic acid (CLA). Our results indicate that supplementation with sunflower oil, Se and vitamin E provides beneficial effects on animal performance and milk composition, which could be an important source of CLA and antioxidants (Se and vitamin E) for human consumption.