This trial was conducted to compare the effect of diets supplemented with plant essential oil (PEO) and coated plant essential oil (CEO) on growth performance, immunity, antioxidant activity, and fecal microbiota of weaned piglets. A total of 360 21-day-old weaned piglets were randomly allocated into three groups, namely, CON, PEO, and CEO (basal diets supplemented with 0, 500 mg/kg PEO, and 500 mg/kg CEO, respectively) for a 4-week feeding trial. The results showed that dietary supplementation with CEO improved the average final weight and average daily gain, decreased the diarrhea rate, increased antioxidant enzyme activities, enhanced immunoglobulin concentrations, and decreased concentrations of pro-inflammatory cytokines in the serum of weaned piglets (p < 0.05). In addition, CEO addition increased the fecal concentrations of propionic acid and isovaleric acid of piglets (p < 0.05). Spearman correlation analysis showed that fecal microorganisms at the genus level were closely correlated with the volatile fatty acid concentrations. The present study indicated that PEO and CEO could improve growth performance, enhance immunity, and increase antioxidant capacity by modulating the microbial flora in weaned piglets. Moreover, CEO addition seemed to offer more positive results than of PEO addition.