Oils provide a considerable amount of energy to the swine diet, but they are prone to lipid oxidation if not properly preserved. Consumption of oxidized oils can adversely affect the animal organism and even the offspring. This study investigated the impact of oxidized soybean oil in the diets of sows from 107 days gestation to 21 days of lactation on the performance of sows and jejunum health of suckling piglets. Sixteen sows were randomly allocated into two groups: one group (n = 8) was fed with the fresh soybean oil (FSO) diet, and another group (n = 8) was treated with the oxidized soybean oil (OSO) diet. Dietary oxidized soybean oil does not affect sow performance. Antioxidant enzyme activity in the milk was reduced significantly in the OSO group, such as the superoxide dismutase (SOD), total antioxidant capacity (T-AOC), and catalase (CAT) activities (p < 0.05). On Day 21, oxidized soybean oil increased tumor necrosis factor-α (TNF-α), interleukin 6 (IL-6), and interleukin 8 (IL-8) levels in sow milk and the concentrations of TNF-α and IL-8 cytokines in plasma (p < 0.05). Suckling piglets from sows fed on OSO showed a trend towards increased IL-6 and TNF-α in plasma (p < 0.1). The mRNA expression of interleukin 1β (IL-1β) was augmented, whereas interleukin 10 (IL-10) was decreased, and zonula occludens-1 (ZO-1) had a tendency to be down-regulated in OSO treatment. This study revealed that the OSO of feed decreased the antioxidant capacity of milk, further contributing to the inflammatory response in the jejunum of suckling piglets.