Milk fat globule membranes (MFGMs) are complex structures that incorporate bioactive proteins and lipids to assist in infant development. However, the antifatigue and antioxidant potentials of MFGM have not been investigated. In this study, repeated force swimming measured fatigue in male BALB/c mice fed MFGM and saline for 18 weeks. The MFGM supplementation increased the time to exhaustion by 42.7% at 6 weeks and 30.6% at 14 weeks (p < 0.05). Fatigue and injury-related biomarkers, including blood glucose, lactic acid, and lactate dehydrogenase, were ameliorated after free swimming (p < 0.05). The activity of antioxidant enzymes in blood serum increased at 18 weeks, while malondialdehyde (MDA) content decreased by 45.0% after the MFGM supplementation (p < 0.05). The Pearson correlation analysis showed a high correlation between fatigue-related indices and antioxidant levels. The increased protein expression of hepatic Nrf2 reduced the protein expression of Caspase-3 in the gastrocnemius muscle (p < 0.05). Moreover, the MFGM supplementation increased the relative abundance of Bacteroides, Butyricimonas, and Anaerostipes. Our results demonstrate that MFGM may maintain redox homeostasis to relieve fatigue, suggesting the potential application of MFGM as an antifatigue and antioxidant dietary supplement.