Cows fed total mixed rations (silage-based) may not receive as much essential fatty acids (EFAs) and conjugated linoleic acids (CLAs) as cows fed pasture-based rations (fresh grass) containing rich sources of polyunsaturated fatty acids. CLA-induced milk fat depression allows dairy cows to conserve more metabolisable energy, thereby shortening the state of negative energy balance and reducing excessive fat mobilisation at early lactation. EFAs, particularly α-linolenic acid, exert anti-inflammatory and antioxidative properties, thereby modulating immune functions. Thus, combined EFA and CLA supplementation seems to be an effective nutritional strategy to relieve energy metabolism and to improve immune response, which are often compromised during the transition from late pregnancy to lactation in high-yielding dairy cows. There has been extensive research on this idea over the last two decades, and despite promising results, several interfering factors have led to varying findings, making it difficult to conclude whether and under what conditions EFA and CLA supplementations are beneficial for dairy cows during the transition period. This article reviews the latest studies on the effects of EFA and CLA supplementation, alone or in combination, on dairy cow metabolism and health during various stages around parturition. Our review article summarises and provides novel insights into the mechanisms by which EFA and/or CLA influence markers of metabolism, energy homeostasis and partitioning, immunity, and inflammation revealed by a deep molecular phenotyping.