In the veterinary sector, many papers deal with the relationships between inflammation and oxidative stress. However, few studies investigate the mechanisms of action of oxidised molecules in the regulation of immune cells. Thus, authors often assume that these events, sometime leading to oxidative stress, are conserved among species. The aim of this review is to draw the state-of-the-art of the current knowledge about the role of oxidised molecules and dietary antioxidant compounds in the regulation of the immune cell functions and suggest some perspectives for future investigations in animals of veterinary interest.