Cold climates may be a risk to the health and welfare of lambs during winter because cold environments alter the physiological processes of lambs, and we used cold environments with three different temperature gradients—an indoor heating control group (IHC) using electric heating; an indoor temperature group (IT) with intermittent and slight degrees of stimulation of coldness; an outdoor temperature group (OT) exposed to cold environments in an external natural environment. The results showed that the lambs in the OT group had a greater decrease in the average daily gain (ADG) and increase in the average daily feed intake (ADFI) and the feed-to-gain ratio (F:G) compared to the other two groups. The decrease in immunoglobulin A (IgA) and interleukin 2 (IL-2) contents and IL-2 gene expression, and the increase in tumor necrosis factor α (TNF-α) content and TNF-α and nuclear factor kappa-B p65 (NF-κB p65) gene expressions in the OT group suggested that the lambs had a compromised immune status in cold environments. Moreover, the decrease in catalase (CAT), glutathione peroxidase (GPx), total superoxide dismutase (T-SOD), and total antioxidant capacity (T-AOC) levels, and CAT, GPx, SOD1, SOD2, and nuclear factor-erythroid 2-related factor 2 (Nrf2) gene expressions, and the increase in malondialdehyde (MDA) in the OT group suggested that the lambs had a lower antioxidant defense capacity in cold environments. Thus, in extreme cold, lambs kept outdoors could reduce growth, immune function and antioxidant status. However, shelter feeding in winter could relieve the stress of cold environments on lambs, and housing with heating equipment was more conducive to the improve growth, immune, and antioxidant function of the lambs.
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