Functional deficiencies of the immune system are known to predispose human and animal neonates to death. Thus, immune competency may be a significant factor influencing the mortality of lambs. Vitamin D has been recognised to improve immune function and is transferred across the placenta. This study tested the hypotheses that (1) supplementation of Merino ewes with cholecalciferol during late pregnancy will increase the concentrations of vitamin D in the ewe and lamb at birth and (2) supplementation of Merino ewes with cholecalciferol during late pregnancy is correlated with an increase in innate phagocytic and adaptive antibody immune responses in the lamb. Merino ewes (n≤53) were injected intramuscularly with 1 × 106 IU cholecalciferol at Days 113 and 141 of pregnancy. A control group (n≤58) consisted of ewes receiving no additional nutritional treatments. The vitamin D status of ewes and lambs was assessed up until 1 month post-lambing. Lamb immune function was assessed by analysing the functional capacity of phagocytes, and the plasma IgG and anti-tetanus-toxoid antibody concentrations between birth and weaning. Maternal supplementation with cholecalciferol increased the plasma 25(OH)D concentrations of both ewes (137 vs 79 nmol/L; P < 0.001) and lambs (49 vs 24 nmol/L; P < 0.001) at birth compared with the controls. Supplementation with cholecalciferol had no significant effect on the phagocytic capacity of monocytes or polymorphonuclear leukocytes, the concentration of IgG in the colostrum or plasma of lambs, or the vaccine-specific antibody response against tetanus toxoid. Overall, the results support our first hypothesis, but suggest that maternal supplementation with 1 × 106 IU cholecalciferol does not improve innate, passive or adaptive immune function in lambs.