Inclusion in the diet of concentrations of vitamin E and selenium (Se) above requirement is associated with variable improvements in animal performance and immune function. At the cellular and molecular level, research in the last decade has produced a clearer understanding of the mechanisms underlying the multiple functions of vitamin E and Se and it is apparent that these functions extend beyond antioxidant protection. This paper reviews recent research relating to the functionality of vitamin E and Se in relation to the ewe and her lambs and attempts to relate this understanding to the whole animal level. Important aspects of this improved understanding are descriptions of three groups of seleno-proteins and the appreciation that there is a hierarchy in both the distribution of selenium between tissues and in the synthesis of different enzymes within tissues. In addition, there is diversity in the effects of vitamin E and Se derivatives on immune cell function. Given this heterogeneity in function it is not surprising that published responses for the production and health of ewes and lambs to supplementary vitamin E and selenium are variable and not always positive. Coupled with information on factors influencing variability in supply of vitamin E and Se from fresh and conserved forages and concentrate supplements, this review highlights the need for greater awareness of the importance of adequate supplementation of ewe and lamb diets with vitamin E and Se.