Using alternative ingredients or low-quality grain grades to reduce feeding costs for pig diets can introduce mycotoxins such as deoxynivalenol (DON) into feed, which is known to induce anorexia, inflammation, and oxidative stress. Adding vitamin 25(OH)D or vitamins E and C to the feed could increase piglets' immune system to alleviate the effects of DON. This study used 54 pigs (7.8 ± 0.14 kg) in 27 pens (2 pigs/pen) with a vitamin 25(OH)D or vitamin E-C supplementation, or their combination, in DON-contaminated (5.1 mg/kg) feed ingredients over 21 days followed by a lipopolysaccharide (LPS) challenge (20 µg/kg BW) 3 h prior to euthanasia for 1 piglet per pen. DON contamination induced anorexia, which reduced piglet growth. DON also induced immunomodulation, oxidative stress, and downregulated vitamin D status. The vitamin E and C supplementation and the combination of vitamins E, C, and 25(OH)D provided protection against DON contamination by not only decreasing blood and liver oxidative stress markers, but also by increasing antioxidant enzymes and tocopherol levels in blood, indicating improved antioxidant defense mechanisms. The combination of vitamins also restored the vitamin D status. After LPS challenge, DON contamination decreased intestinal and liver antioxidant statuses and increased inflammation markers. The addition of vitamins E and C to DON-contaminated feed reduced markers of inflammation and improved the antioxidant status after the LPS immune stimulation. The combination of all these vitamins also reduced the oxidative stress markers and the inflammation in the intestine and mesenteric lymph nodes, suggesting an anti-inflammatory effect.