The objectives were to investigate effects of nutritional plane and Se supply during gestation on yield and nutrient composition of colostrum and milk in first parity ewes. Rambouillet ewe lambs (n = 84, age = 240 ± 17 d, BW = 52.1 ± 6.2 kg) were allocated to 6 treatments in a 2 × 3 factorial array. Factors included Se [adequate Se (ASe, 11.5 µg/kg of BW) or high Se (HSe, 77.0 µg/kg of BW)] initiated at breeding, and nutritional plane [60 (RES), 100 (CON), or 140% (HIH) of requirements] initiated at d 40 of gestation. Ewes were fed individually from d 40, and lambs were removed at parturition. Colostrum was milked from all ewes at 3 h postpartum, and one-half of the ewes (n = 42) were transitioned to a common diet meeting lactation requirements and mechanically milked for 20 d. Colostrum yield was greater (P = 0.02) for HSe ewes than ASe, whereas CON had greater (P < 0.05) colostrum yield than RES and HIH. Colostrum Se (%) was greater (P < 0.01) for HSe than ASe. Colostrum from ewes fed HSe had less (P = 0.03) butterfat (%), but greater (P ≤ 0.05) total butterfat, solids-not-fat, lactose, protein, milk urea N, and Se than ASe. Colostrum from HIH ewes had greater (P ≤ 0.02) solids-not-fat (%) than RES, whereas RES had greater (P ≤ 0.04) butterfat (%) than CON and HIH. Colostrum from ewes fed the CON diet had greater (P = 0.01) total butterfat than HIH. Total solids-not-fat, lactose, and protein were greater (P < 0.05) in colostrum from CON than RES and HIH. Ewes fed HSe had greater (P < 0.01) milk yield (g/d and mL/d) than ASe, and CON and HIH had greater (P < 0.01) yield than RES. Milk protein (%) was greater (P ≤ 0.01) in RES compared with CON or HIH. Ewes fed HSe had greater (P < 0.01) milk Se (µg/g and mg/d) than ASe on each sampling day. Milk from CON and HIH ewes had greater (P < 0.01) total solids-not-fat, lactose, protein, and milk urea N than RES. Total Se was greater (P = 0.02) in milk from ewes fed the CON diet compared with RES. Somatic cell count and total somatic cells were greater (P ≤ 0.05) in milk from CON than RES. A cubic effect of day (P ≥ 0.01) was observed for milk yield (g and mL). Butterfat, solids-not-fat, lactose, milk urea N, and Se concentration responded quadratically (P ≤ 0.01) to day. Protein (%), total butterfat, and total Se, and somatic cells (cells/mL and cells/d) decreased linearly (P < 0.01) with day. Results indicate that gestational nutrition affects colostrum and milk yield and nutrient content, even when lactational nutrient requirements are met.