Because of the potential benefit to human health, there is considerable interest in increasing omega-3 fatty acid contents in milk fat. However, efforts to increase the levels of eicosapentaenoic (EPA; C20:5n-3) and docosahexaenoic (DHA; C22:6n-3) acids had limited success because they undergo biohydrogenation in rumen. This study investigated the effect of entrapped fish oil (EFO) containing EPA and DHA acids on milk and milk fat compositions of lactating goats. The EFO were prepared with fish oil, defatted soy flour, and acetaldehyde. Nine Saanen lactating goats (4 yr old; BW = 48.3 ± 2.26 kg) were divided into groups of 3 and randomly assigned to 3 diets using a 3 × 3 Latin square design with 14-d periods. The 3 diets consisted of 95% basal diet containing alfalfa meal, yellow corn and soybean meal, plus 5.0% lipid from either poultry fat (PF), fish oil (FO) or EFO. Each period consisted of a 10-d adjustment to assigned diets followed by 4-d of milking collection. The designated diet was provided once daily ad libitum at individual feed stations. The collected milk samples from each goat were analyzed for basic nutrient, α-tocopherol and fatty acid composition. All data were analyzed as a 3 × 3 Latin square design. Lactating goats fed a PF containing diet had a higher (P < 0.01) content of milk fat compared with goats fed either a FO- or an EFO-containing diet (3.98 vs 3.34 or 3.22%). No significant differences were found in the amount of α-tocopherol (0.87–0.90 μg/mL) in the milk samples from the 3 different diets. Compared with lactating goats fed PF-diet, goats fed either FO- or EFO- diets had higher (P < 0.01) concentrations of EPA (C20:5n-3, 0.30 vs. 0.81 or 1.66%), docosapentaenoic (C22:5n-3, 0.24 vs. 0.77 or 0.98%), and DHA (C22:6n-3, 0.32 vs. 1.21 or 1.86%) in milk. Furthermore, the concentration of EPA in milk from goats fed EFO-diet was higher (P < 0.01) than that from goats fed a FO-diet. The results indicate that feeding lactating goats with entrapped fish oil in a chemically treated protein matrix might increase the deposition of omega-3 fatty acids in their milk.