Contagious ecthyma is a contagious zoonotic disease caused by the Orf virus that can infect farm animals and humans, but no vaccine is available for pregnant mothers. Excessive oxidative stress during pregnancy can suppress the vaccine immune response in pregnant mothers; hence, maternal micronutrient supplementation could effectively improve the immune response, health, and oxidative status during pregnancy. In this study, we employed an 8-week-old pregnant rat model to receive a single intramuscular dose of 200 µg of ORF DNA vaccine with or without vitamin E and selenium supplementation to evaluate their effect on immune responses (specific IgG and IgG isotypes), oxidative stress, liver enzymes, and blood glucose levels in maternal-neonatal serum and milk secretions. Additionally, antioxidant-related gene expressions were analyzed in the maternal placenta and pups' liver. The results showed that supplementation of vitamin E and selenium with ORF DNA vaccination increased the production of specific antibody and IgG isotypes (IgG1 and IgG2a) and reduced the oxidative stress in neonatal-maternal serum and milk compared to both the control group and those vaccinated without supplementation (p < 0.05). Notably, the ORF DNA vaccine did not cause oxidative stress and hepatic damage. However, combined supplementation of vitamin E and selenium with DNA vaccination significantly decreased serum malondialdehyde (MDA) levels and improved the antioxidant-related enzyme activities of glutathione peroxidase (GPX), superoxide dismutase 1 (SOD1), and selenoprotein P (SELP) in the maternal placenta and liver of pups (p < 0.05). In conclusion, maternal supplementation of vitamin E and selenium enhanced the immune responses of the ORF DNA vaccine by mitigating oxidative stress in pregnant rats and could thus be a promising strategy for better health outcomes for both mothers and neonates.