Agriophyllum squarrosum (sand rice), a widespread desert plant, possesses anti-hyperglycemic and anti-inflammatory properties, and has been used in traditional Chinese medicine for many years. However, its effects on ruminants are unknown. To fill this gap, we examined the effects of A. squarrosum on the immune and anti-inflammatory responses of lambs. A total of 23, 6-month-old Tan ewe-lambs (27.6 ± 0.47 kg) were divided into four groups and offered a basic diet (C—control), or a diet that contained 10%, 20%, or 30% A. squarrosum, on a dry matter basis, for 128 days. Serum concentrations of total cholesterol were lower (p = 0.004) in the 30% supplemented lambs than controls, while concentrations of high-density lipoprotein cholesterol were lower (p = 0.006) in the 10% and 20%, but not in 30% supplemented lambs than controls. Serum-cortisol concentrations were lower (p = 0.012) in the 30% supplemented lambs and free fatty acid concentrations were higher in the 10% and 20% supplemented lambs than in control lambs (p < 0.001). Supplementation with A. squarrosum decreased (p < 0.05) the area of adipocytes in subcutaneous adipose tissue, but there was no difference between the 20% and 30% diets. Conversely, the area in visceral adipose tissue (VAT) increased (p < 0.05), especially for the 10% and 20% supplemented diets. Supplementation with A. squarrosum also enriched immune and anti-inflammatory related and lipid and glucose-metabolic pathways and associated differentially expressed gene expressions in adipose tissue. A total of 10 differential triacylglycerol, 34 differential phosphatidylcholines and seven differential phosphatidylethanolamines decreased in the diet with 30% supplementation, when compared to the other diets. Finally, adipocyte-differentiation genes, and immune and inflammatory response-related gene expression levels decreased in lamb adipocytes cultured with an aqueous A. squarrosum extract. In conclusion, supplementing lamb diets with A. squarrosum reduced blood lipids, enhanced immunity and anti-inflammatory capacities, and mediated lipid metabolism in adipose tissue and adipocytes of Tan lambs. A level of approximately 10% is recommended, but further research is required to determine the precise optimal level.