Plasma lipid content and composition are studied in dairy cows and goats fed similar diets inducing milk fat depression (MFD) only in cows. Twelve cows and 15 goats are fed a diet without additional lipids (control), or supplemented with fish oil (FO), or supplemented with sunflower oil plus starch (SOS) in a 3 × 3 Latin square design. A high‐performance thin‐layer chromatography (HP‐TLC) methodology is used to separate and quantify the following plasma lipid classes: cholesterol esters (CE), triglycerides (TG), free fatty acids (FFA), cholesterol (Chol), and phospholipids (PL). The plasma lipid composition reveales that TG concentration is 193% higher in the goats compared to the cows. For cows and goats, FO increases CE (+31%) and Chol levels (+33.7%) compared to the control. The TG concentration is differentially regulated by FO between cows (−23.5%) and goats (no change). In the goats, SOS increases CE (+25.7%), Chol (+46.7%), and FFA levels (+71.7%) compared to the control. These results suggest the existence of different mechanisms of lipid digestion, absorption, and transport between cows and goats and contribute to better understand the differences in the regulation of milk fat secretion responses to lipid supplementation between cows and goats. Practical Applications: A robust HP‐TLC methodology for plasma lipid separation and analysis in automated and reproducible conditions is developed which constitutes an original part of the present study. It has been shown that intake of plant‐derived lipids associated with starch‐rich diets decreases the milk fat content in cows but not in goats. Therefore, the direct species comparison model used in the present study constitutes an interesting tool to compare the responses of plasma lipid concentrations and FA composition in cows and goats fed fish oil or sunflower oil and starch supplemented diets. The direct comparison between cows and goats in plasma lipid class composition is reported for the first time in the present study, with in addition new information about the contribution of intermediary metabolism to differences between the two species in the regulation of milk fat secretion in response to lipid supplementation.