Farming systems can expose animals to chronic mild stress which is known to induce negative affective state. Affective state in animals, as in humans, can be assessed through behavioral cues. This study aimed to describe the effect of a chronic mild stress, known to induce a negative affective state, on sheep health through their response to vaccination. The study used 15 lambs subjected to a model of chronic mild stress for 15 weeks and 15 lambs reared under conventional farming as a control group. After 7 weeks of stressful treatment, the lambs were individually exposed to a judgment bias test to assess a putative stress-induced ‘pessimism.’ After 15 weeks of stressful treatment, antibody immune response was measured after an injection of a live vaccine challenge (Chlamydia abortus attenuated vaccine strain 1B). Stressed lambs displayed a pessimistic-like perception in the judgment bias test, revealing a negative affective state. Stressed and control animals showed different immunological reactions to vaccine challenge: stressed sheep had lower hemoglobin concentrations and higher platelet, granulocyte and acute-phase protein concentrations. Antibody response induced by the vaccine strain was not different between stressed and control sheep. Our results suggest that negative affective state induced by chronic stress treatment may induce a stronger inflammatory response to vaccine challenge in sheep. Improvement of animal health may be achieved through consideration of stressors that may affect the emotional and immunological state of sheep.