The aim of this study was to determine the effects of supplementing unprotected dietary unsaturated fatty acids (UFAs) from different plant oils on gene expression in the mammary gland of grazing dairy cows. A total of 28 Holstein–Friesian dairy cows in mid-lactation were blocked according to parity, days in milk, milk yield and fat percentage. The cows were then randomly assigned to four UFA sources based on rapeseed, soybean, linseed or a mixture of the three oils for 23 days, after which, all 28 cows were switched to a control diet for an additional 28 days. On the last day of both periods, mammary gland biopsies were taken to study genome-wide differences in gene expression on Affymetrix GeneChip® Bovine Genome Arrays (no. 900493) by ServiceXS (Leiden, The Netherlands). Supplementation with UFAs resulted in increased milk yield but decreased milk fat and protein percentages. Furthermore, the proportion of de novo fatty acids (FAs) in the milk was reduced, whereas that of long-chain FAs increased. Applying a statistical cut-off of false discovery rate of q-values <0.05 together with an absolute fold change of 1.3, a total of 972 genes were found to be significantly affected through UFA supplementation, indicating that large transcriptional adaptations occurred in the mammary gland when grazing dairy cows were supplemented with unprotected dietary UFA. Gene sets related to cell development and remodeling, apoptosis, nutrient metabolic process, as well as immune system response were predominantly downregulated during UFA supplementation. Such molecular knowledge on the physiology of the mammary gland might provide the basis for further functional research on dairy cows.