To rear lambs of the Ojalada breed, fed exclusively on mothers' milk until 5 weeks, three feeding systems were compared: a) ewes kept indoors and fed chopped straw plus concentrate (IND+CH+C), total mixed ration (TMR); b) ewes kept indoors and fed whole straw in the form of large bales plus concentrate (IND+W+C), TMR; and c) free-range grazing plus concentrate (GR+C; control group). Parameters related to ruminal fermentation (pH, NH3-N concentration and proportion of volatile fatty acids (VFAs)) in 40 sheep during a production cycle were monitored. The plasma concentrations of stress-related metabolites (i.e., glucose, lactate, phosphate, creatine kinase (CK), cortisol and non-esterified fatty acids (NEFAs)) during a production cycle and in 10 sheep during lactation (5 weeks) were tested. The sheep fed a whole forage ration (IND+W+C and GR+C treatment group) had higher concentrations of NH3-N and total VFAs, but no differences were found in the acetate/propionate ratio in sheep in the IND+CH+C treatment group compared to the control group. When analyzing plasma metabolites, we found that during the entire production cycle, grazing sheep had higher concentrations of glucose and cortisol. The concentration of NEFAs was also higher for the GR+C treatment group when evaluated during lactation. Thus, we concluded that the ration particle size for sheep fed a TMR influences the concentration of NH3-N and VFAs in the rumen. Keeping the sheep indoors during the production cycle and during lactation did not increase the plasma levels of the evaluated stress indicators.