This work aimed was to study the effect of the dietary inclusion of grape seed and linseed, on milk fatty acid (FA) composition in Sarda dairy sheep. Milk samples were collected weekly from 24 Sarda ewes assigned to 4 dietary treatments: control diet (CON), containing 300 g/d of grape seed (GS), a diet containing 220 g/d of linseed (LIN) and a diet containing both lin- and grape seed (MIX). Samples were analyzed for FA profile with GC. Data of major classes of FA were analyzed by principal component analysis (PCA) and the first 2 PC were retained for further analysis based on the proportion of variance explained by PC. The first and second PC accounted for about 90% of the total variability (78.3% and 12%, PC1 and PC2, respectively). Elements of eigenvector of PC1 were positively associated with unsaturated (0.246), monounsaturated, long, trans FA and CLA (0.244, 0.243, 0.233, 0.231), whereas groups characterized by short, medium chain FA, saturated FA showed negative association with PC1 (−0.231, −0.238, −0.246). PC2 loadings were positively correlated with n-6 and n-6/n-3 ratio (0.455, 0.559), and negatively with n-3 (0.470). Furthermore, PC1 presented negative loadings for atherogenic index and thrombogenic index (−0.238, −0.236). It was supposed that PC1 was positively associated with the PUFA intake, which progressively increased in CON, GS, LIN and MIX. PC2 could be related to the different source of PUFA (grape seed or linseed) and consequently, with the ratio PUFA n-6/n-3 in the diet. The observations plotted on the new system of variables defined by PC1 and PC2, revealed definite clusters for each of the 4 dietary treatments. Incremental scores in PC1 were observed for CON, GS, LIN and MIX, (−5.8, −0.3, 1.5, 4.5, respectively); PC2 discriminated only GS (positive scores, 1.9) from LIN (negative scores, −2.0). Overall, the results suggest that the inclusion of grape seed and linseed in the diet of lactating ewes could be useful to improve the quality of milk FA, especially when used in combination. The PCA has shown to be a useful tool for understanding the effect of different dietary treatments on milk FA profile.