The aim of this study was to evaluate the effect of the Schizochytrium limacinum marine algae on the milk composition and fatty acid profile, somatic cell count, and prevalence of pathogen bacteria in the raw milk of multiparous Alpine goats. Twenty-eight dairy goats were randomly allocated to two groups: control group (C)—fed with 1500 g alfalfa hay and 600 g concentrate; experimental group (MA)—received the same forages and concentrate supplemented with 10 g/head/day marine algae. The goats were housed indoors, while the experiment lasted five weeks, and the milk samples were taken every week. Marine algae feeding had no negative effect on milk composition. The marine algae inclusion significantly decreased the milk somatic cell count and the presence of udder pathogens in the MA group. Mean somatic cell count and presence of udder pathogens were 5.73 log cells/mL and 31%, respectively, in the C group, while these values were 5.34 log cells/mL and 10%, respectively, in the MA group. The marine algae supplementation significantly increased DHA and rumenic acid concentration in the milk of the MA group (0.32 and 0.99 g/100 g of fatty acids, respectively) compared to the C group (0.04 and 0.65 g/100 g of fatty acids, respectively). It can be concluded that a diet supplemented with marine algae significantly improves the udder health of goats and the concentrations of health-promoting fatty acids in milk.