We investigated if supplementing obese mothers (MO) with docosahexaenoic acid (DHA) improves milk long-chain polyunsaturated fatty acid (LCPUFA) composition and offspring anxiety behavior. From weaning throughout pregnancy and lactation, female Wistar rats ate chow (C) or a high-fat diet (MO). One month before mating and through lactation, half the mothers received 400 mg DHA kg−1 d−1 orally (C+DHA or MO+DHA). Offspring ate C after weaning. Maternal weight, total body fat, milk hormones, and milk nutrient composition were determined. Pups’ milk nutrient intake was evaluated, and behavioral anxiety tests were conducted. MO exhibited increased weight and total fat, and higher milk corticosterone, leptin, linoleic, and arachidonic acid (AA) concentrations, and less DHA content. MO male and female offspring had higher ω-6/ ω-3 milk consumption ratios. In the elevated plus maze, female but not male MO offspring exhibited more anxiety. MO+DHA mothers exhibited lower weight, total fat, milk leptin, and AA concentrations, and enhanced milk DHA. MO+DHA offspring had a lower ω-6/ω-3 milk intake ratio and reduced anxiety vs. MO. DHA content was greater in C+DHA milk vs. C. Supplementing MO mothers with DHA improves milk composition, especially LCPUFA content and ω-6/ω-3 ratio reducing offspring anxiety in a sex-dependent manner.