This study was performed to investigate the hypothesis that supplementation of conjugated linoleic acid (CLA) changes the concentrations of retinol and tocopherols in the milk of cows. To investigate this hypothesis, Holstein cows received daily from 3 weeks ante-partum to 14 weeks post-partum either 172 g of a CLA-free rumen-protected control fat (control group, n = 20) or the same amount of a rumen-protected CLA fat, supplying 4.3 g of cis-9, trans-11 CLA and 3.8 g of trans-10, cis-12 CLA per d (CLA group, n = 20). Milk samples (collected at weeks 1, 3, 5, 8 and 11 of lactation) were analysed for retinol, α- and γ-tocopherol concentrations. Milk of cows supplemented with CLA had higher concentrations of retinol (+34%), α-tocopherol (+44%) and γ-tocopherol (+21%) than milk of control cows (p < 0.05). The daily output of these vitamins via milk was also greater in cows of the CLA group than in cows of the control group (+36, 50 and 24% for retinol, α-tocopherol and γ-tocopherol, respectively, p < 0.05). In agreement with higher concentrations of tocopherols, concentrations of thiobarbituric acid-reactive substances, determined in milk of week 5, were lower in cows of the CLA group than in control cows, indicative of a lower susceptibility of milk lipids to peroxidation. Plasma concentrations of retinol and α-tocopherol, determined at 1 and 5 weeks post-partum, were not different between the two groups of cows. In conclusion, this study shows that supplementing dairy cows with a moderate amount of CLA causes an increase of the concentrations of vitamins A and E in the milk and results in an increased output of those vitamins via milk. These effects might be beneficial with respect to the nutritional value of dairy products and the susceptibility of milk fat to oxidative deterioration.