Supplementation of diets with a modest amount of zinc methionine (ZM) has been documented to improve the growth performance and antioxidant function of dairy calves, but the underlying mechanisms remain elusive. In the present study, 16 dairy calves were allocated to a control (CON) group (calves consumed a basal diet) and a ZM group (calves ingested the basal diet and had an additional 455 mg ZM/day, corresponding to 80 mg zinc/day). The calves were fed these diets for 2 weeks, after which their serum antioxidant parameters, lipids, and jejunal mucosal proteome and microbiota were analyzed. The ZM group had lower levels of total cholesterol, triglycerides, and malondialdehyde but higher high-density lipoprotein cholesterol and glutathione peroxidase activity in the serum. A total of 142 differentially expressed proteins in the intestinal mucosa between the CON and ZM groups had been identified (ZM upregulated 117 proteins and downregulated 25 proteins). In addition, the protein expression of acyl-coenzyme A oxidase 1, fatty acid binding protein 2, and peroxisome proliferator-activated receptor gamma was higher in the ZM group. 16S rRNA gene sequencing indicated beneficial microbes, such as Veillonellaceae, Akkermansia_muciniphila, and Bifidobacterium adolescentis, which were more abundant, whereas Acinetobacter lwoffii was less abundant in calf jejunal mucosa in the ZM group. Finally, the propionate, butyrate, and iso-valerate concentrations in the jejunal digesta were greater in the ZM group than those in the CON group. Collectively, the present study shows that ZM supplementation improves the serum and intestine mucosal lipid metabolism associated with the alterations in mucosal fatty acids β-oxidation and microbiota.