As a result of the European ban of in-feed growth-promoting antibiotics, new strategies are being developed to increase the resistance to disease in farm animals. In pig production, this is of particular importance during the weaning transition when piglets are subjected to major stressful events, making them highly sensitive to digestive disorders. At this time, the development of both innate and adaptive immunity at the mucosal surface is critical in preventing the potential harmful effects of intestinal pathogenic agents. Strategies aiming at stimulating natural host defences through the use of substances able to modulate immune functions have gained increasing interest in animal research, and different bioactive components a priori sharing those properties have been the subject of in vivo nutritional investigations in pig. Among these, yeast derivates (β-glucans and mannans) are able to interact with immune cells, particularly phagocytic cells. However, studies where they have been fed to pigs have shown inconsistent results, suggesting that their ability to target the sensitive immune cells through the oral route is questionable. The plant extracts, which would benefit from a positive image in the public opinion, have also been tested. However, due to a lack of data on the bioactive components of particular plants and the large diversity of species, it has proved difficult to prepare extracts of equivalent potency and thus, the literature on their influence on pig immunity remains inconclusive. In considering piglet immunity and health benefits, the most promising results to date have been obtained with spray-dried animal plasma, whose positive effects would be provided by specific antibodies and non-specific competition of some plasma components with bacteria for intestinal receptors. The major positive effect of spray-dried animal plasma is in reducing the infiltration of gut-associated lymphoid tissue by immune cells, which is likely to be the result of a decreased colonisation by potentially harmful bacteria. This review also highlights the limitations of some of the published in vivo studies on the immunomodulatory activity of certain feed additives. Among those, the lack of standardisation of extracts and the heterogeneity of piglet-rearing conditions (e.g. exposure to pathogens) are likely the most limiting.