Redox status, lipid peroxidation and protein oxidative damage in blood samples of healthy goats and sheep were evaluated to show any possible correlation with daily milk yield or milk components, and between oxidant parameters and biomarkers of protein and lipid damage. Blood and milk samples were collected from fifty Maltese goats and forty Valle del Belice sheep. Redox status was assessed analysing the total oxidant status (TOS), the total antioxidant capacity (TAC), together with the nitric oxide radical (NO^•) metabolite (NO_x) content. Oxidative damage of lipids and proteins was analysed as thiobarbituric acid reactive substances (TBARS) and advanced oxidation protein products (AOPP), respectively. As for the comparison of the assessed oxidative stress (OS) parameters in the two species, only AOPP appeared significantly different (P < 0.01). While no correlation was observed between daily milk yield or milk components and the assessed OS parameters in both species, several correlations were shown among the assessed OS parameters, with differences appearing between the two species. In particular, TBARS levels were related to TOS in goats (P < 0.001) and to NO_x in sheep (P < 0.001). Levels of AOPP were dependent on NO_x concentrations in sheep (P < 0.05) but they were correlated neither with TOS nor NO_x in goats (P > 0.05). So, the observed differences between two examined species seem to suggest that OS parameters are species-specific and a panel of different measurements based on various analytical methods should be considered to dutifully evaluate the OS.