Fatty acids (FAs), tocopherols and retinoids were analysed in raw milk and cheese from six commercial sheep flocks monitored from early lactation in winter to late lactation in summer. In winter, animals received concentrate and forage indoors; in early spring, animals grazed part-time on cultivated or natural valley grasslands; and from mid spring on, animals were kept outdoors constantly on mountain natural pastures. Mountain grazing in late lactation significantly increased the amount of healthy desirable unsaturated FAs such as C18:1t11 (VA), C18:2c9t11 (RA), C18:2t11c13, C18:3c9c12c15 (ALA) and C20:5c5c8c11c14c17 (EPA), and those of α-tocopherol and α-tocotrienol of milk and cheese. Stepwise discriminant analysis was applied to classify cheese samples according to seasonal feeding management. The multivariate approach was able to discriminate beyond doubt mountain cheeses from those of indoor feeding and part-time valley grazing.