The purpose of this work was to obtain a cheese from ewes milk with a healthier fatty acid (FA) profile. To achieve our aim, 48 ewes (12 per treatment) were fed diets supplemented with 3% of plant oils: palm (used as control), olive (OO), soybean (SO), and linseed (LO). Milk samples from each treatment were collected to manufacture cheeses. The cheesemaking process did not modify the dairy fat FA profile, but OO, SO, and LO did reduce the C12:0 + C14:0 + C16:0 content in dairy fat, thus decreasing the atherogenic index value in the cheeses. Percentages of cis-9 trans-11 C18:2 in cheeses ranged from the 0.43 control value to 0.92, 1.64, and 2.71 with OO, LO, and SO respectively, following the same pattern as trans-11 C18:1. In contrast, trans-10 C18:1 levels were always below 1%. The lowest n-6/n-3 ratio obtained with LO (1.43) suggests that such lipid supplementation would be the most effective nutritional strategy for improving cheese FA profiles.