This study investigated Lippia palmeri Watt (oregano) phytochemical compounds, their antioxidant capacity, and immunological effects on goat peripheral blood leukocytes (PBL), and on the presence of intermediate polar compounds in goat feces fed dietary oregano. The polar and nonpolar fractions of L. palmeri W. were characterized and phytochemical contents and antioxidant capacity were determined. Twelve healthy Anglo-Nubian goats were used for the in vivo trials, which were randomly assigned to control fed with basal diet, or oregano group fed with basal diet + 2.6% (DM basis) dried oregano leaves. Goat peripheral blood leukocytes (PBL) were isolated for the in vitro study, and PBL were stimulated with oregano extracts at 100 and 150 μg/mL after 24 h. For the in vivo trial, dietary oregano (2.6% on DM basis) was evaluated in the goats for 90 days. Relatively high abundance of carvacrol and thymol phytochemical compounds was found in oregano. The highest antioxidant capacity of oregano extracts was detected at 100 and 150 μg/mL. Nitric oxide production, phagocytosis, and superoxide dismutase activities increased (p < 0.05) in stimulated PBL with oregano extracts, whereas the pro-inflammatory (TNF-α and IL-1β) transcription and antioxidant (CAT and GPX-4) genes downregulated. In the in vivo experiment, dietary oregano enabled the detection of nine compounds found in goat feces, from which caproic (C6) was in a high relative quantity compared with the control group. Oregano has phytochemical compounds with strong antioxidant capacity that protect cells against oxidative stress damage and could modulate immune response and feces composition in goats.