Wine lees (WLs), a by-product of the wine industry, represent a promising source of bioactive compounds, including diketopiperazines (DKPs). This study aimed to extract, characterize, and evaluate the effects of DKP-enriched WL fractions on immune cell responses under in vitro thermal stress conditions using an ovine model. Wine lees from white, rosé, and red vinifications were subjected to microwave-assisted extraction using water as a green solvent. Extracts were fractionated by flash liquid chromatography and chemically characterized by GC-MS/MS to identify DKP-rich fractions. Two DKP-enriched fractions (F1 and F2) from each vinification were tested at 0.4 and 0.8 mg/mL on sheep peripheral blood mononuclear cells (PBMCs) exposed to normothermic and hyperthermic conditions (37°C, 39°C, and 43°C). PBMC proliferation, viability, and cytokine secretion (IL-6, IL-1β, IL-10, and IFN-γ) were evaluated following mitogenic stimulation. DKP-enriched fractions reduced PBMC proliferation at 37°C and 39°C, whereas hyperthermia at 43°C resulted in a general impairment of immune cell responsiveness. Cytokine profiling indicated a pro-inflammatory response under thermal stress, with DKP treatment reducing IL-10 secretion at 39°C. Overall, these findings provide mechanistic insight into immune cell responses to DKPs under heat stress conditions in sheep and should be considered hypothesis-generating, providing a scientific rationale for future in vivo investigations in dairy animals.