Australian Merino ewes and lambs producing fine fibre wool for export are raised in the north-west of Uruguay in pasture-based systems. We studied the status of selenium and iodine in pregnant Merino ewes (10 per treatment) grazing in natural pasture, in natural pasture and supplemented with Se (0.1 mg Se/kg dry matter intake) and I (1 mg I/kg dry matter intake), or in natural pasture and supplemented with Se alone (0.1 mg Se/kg dry matter intake), during the last 30 days of gestation. Further, we evaluated the performance and wool quality of their offspring. Content of Se and I in natural pasture, in the sera of pregnant ewes, and in the wool of their offspring and levels of thyroidal hormones—TSH, T4, and free T3 (FT3)—in the sera of pregnant ewes were determined. The performance of lambs and the commercial parameters of fine fibre wool produced were measured. Results showed normal Se levels in serum (0.12–0.15 mg/l) in the ewes grazing in natural pasture (0.07–0.09 mg/kg DM) during late pregnancy. The observed increase in Se content in the pasture at lambing (0.11–0.16 mg/kg DM) improved serum Se levels (0.216 mg/l); however, the serum levels were not affected by the supplementation. I content in pasture showed adequate levels (0.50–0.60 mg/kg DM), which were reflected in the blood serum values 30 days prior to lambing (0.197–0.208 mg/l). However, at lambing, the I content in blood serum decreased (0.150 mg/l). Further, the supplementation did not modify the serum I levels (0.163–0.175 mg/l). An increase in FT3 levels in ewes at lambing could be associated with the increase in Se content in pasture and/or the adequate I content in pasture. No effect of supplementation was observed. Lambs showed good results regarding the quality of fine fibre wool and performance after supplementation with Se and I or Se alone and exhibited slightly improved Se and I content in wool. In conclusion, natural pasture provides adequate status in Se and I for the Merino ewes and their offspring without any additional beneficial effects of supplementation with Se and I or only Se.