Forty-eight Manchega dairy ewes were used during a complete lactation in a 2×2 factorial design to determine the effects of supplementing diets with fat (calcium soaps of palm oil fatty acids, CSFA) and rumen undegradable protein (RUP) on milk production and composition. Factors tested were amounts of CSFA (0 or 200 g/kg) and RUP (300 or 450 g/kg crude protein) in the concentrate. RUP was altered by adding a mixture of maize gluten meal and blood meal. Lactation was divided into one nursing period (period 1, weeks 1–4), and three milking periods (periods 2–4, weeks 5–8, 9–14 and 15–21). Concentrates were given at 0–8 kg/d during periods 1 and 2, and at 0–6 kg/d in periods 3 and 4. Ewes grazed rotationally in an Italian rye-grass pasture and received a daily supplement of 0·8 kg vetch–oat hay during period 1, and 0·3 kg lucerne hay during periods 2–4. For the whole lactation, supplemental fat markedly increased milk fat content (+23%) and yield (+16%), and decreased milk protein content (−9%). The positive effect of feeding CSFA on milk fat content was more evident at the beginning of lactation; however, its negative effect on milk protein was more pronounced in late lactation. Supplementary RUP had little effect, increasing milk protein content only in period 3, when the crude protein content of pasture was lower. Milk yield and lamb growth were not affected by dietary treatments. The results indicated that CSFA can be useful for increasing the milk fat content of dairy ewes at pasture, which may help farmers to produce milk reaching the minimum requirements of fat content for the cheese industry.