Iodine (I) is a micronutrient that mammals need for proper functionality of thyroid gland since it is the main component of thyroid hormones. Besides studies that have investigated the role of I in livestock nutrition, it is also important to know the transcriptomics changes in small ruminants following I supplementation. Therefore, the aim of this study was to investigate the effects of I on the whole blood transcriptome in sheep. Fifteen lactating cross-bred ewes (3 to 4-year-old, 55 to 65 kg BW) at their late lactation period were enrolled in this study. At the beginning, all the animals had a 2-week acclimation period where they were fed with a basal diet which includes an adequate level of I (2 mg I/animal per day) in the form of calcium iodate (CaI2O6). Then, the ewes were randomly divided into two groups and fed in individual troughs: the control group (n = 5) was maintained on basal diet and the experimental group (I, n = 10) was fed for 40 days with a diet containing a high I supplementation (equivalent to 30 mg I/animal per day), in the form of potassium iodide. Whole blood and milk were collected individually at the beginning (T0) and after the 40 days of supplementation (T40). Iodine quantification was assessed in serum and milk sample. Microarray gene expression analysis was performed on whole blood and, filtering data using a fold change >2 with an adjusted P < 0.05, we identified 250 differentially expressed genes (DEGs) in the I group (T40 v. T0). Looking for biological processes associated with our DEGs, we found significant association with cell growth regulation. Thus, our study unveils the role of I supplementation on gene expression in sheep improving the knowledge about micronutrients in animal nutrition.