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Simple Summary: Studies on the management factors that affect milk components at the farm level are important for understanding how to transfer the results from experimental study. Plant phenological stages and partially fresh herbage intakes affect the lactose and milk fatty acid profile. The botanical composition of the grassland partially affects the milk's phenol content. A few small relationships between plant phenols and milk colour could be of interest to explain the changes in milk colour parameters. The fatty acid profile, vitamins A and E, cholesterol, antioxidant power colour and the phenols profile of Sarda sheep milk from 11 commercial sheep flocks managed under permanent grassland were investigated. In each farm, the structural and managerial data and milk samples were collected during four periods (sampling dates, SD): January, March, May, and July. Data from the milk composition (fat, protein, casein, lactose, and somatic cell count), 68 fatty acids, 7 phenols, 1 total gallocatechin equivalent, ferric reducing antioxidant power, vitamins A and E, cholesterol, degree of antioxidant protection, and the colour (b *, a * and L *) were analyzed by multivariate factorial analysis using a principal component analysis approach. A proc mixed model for repeated measurement to point out the studied factors affecting significant macro and micro milk composition was also used. Only the first five components were detailed in this paper, with approximately 70% of the explained variance detected. PC1 presented the highest positive loadings for milk lactose, de novo FA synthesis and the BH intermediate, whereas OBCFA had negative loadings values. The PC2, LCFA, UFA, MUFA, vitamins E, and DAP showed positive loadings values, while SFA had a negative value. The PC3 showed a high positive loading for total phenols and non-flavonoids. PC4 presented a high positive loading for the milk macro-composition and negative values for n-3 FAs. The PC5 is characterized by high positive loadings for the a * and L * colour parameters whereas negative loadings were detected for the milk flavonoids content. These preliminary results could help to establish future threshold values for the biomarkers in milk sourced from grazing dairy sheep in natural, permanent pasture-based diets. [ABSTRACT FROM AUTHOR]