The study investigated the effect of supplementation of a basal diet of Eleucine coracana (finger millet) straw with different protein sources mixed with wheat bran on feed utilisation in Ethiopian Highland lambs. Twenty yearling intact male lambs (14.9 ± 0.30 kg; mean ± SD) were used in a randomised complete block design. Dietary treatments included a basal diet of E. coracana straw ad libitum (T1); basal diet supplemented with a mixture of 222 g noug seed (Guizotia abyssinica) cake (NSC) and 78 g wheat bran (WB) (T2); basal diet with a mixture of 234 g cotton seedcake (CSC) and 66 g WB (T3); and basal diet with a mixture of 5.4 g urea (U) and 294.6 g WB (T4). The supplements were offered at the daily rate of 300 g dry matter (DM) per lamb in two equal portions at 0800 and 1600 hours. Supplementation of Ethiopian Highland lambs on E. coracana straw basal diet with varied protein sources increased (P < 0.01) the total DM, OM and CP intake and improved (P < 0.01) the daily body weight gain and feed conversion efficiency. Lambs in T2, T3 and T4 gained weight at the rate of 22.7, 21.9 and 14.1 g/day, respectively, while lambs on the control diet lost weight at a rate of −24.9 g/day. Supplementation also improved (P < 0.01) the digestibility of DM, OM, CP and NDF of the total diet. It was concluded that supplementation of E. coracana straw with NSC, CSC and U mixed with WB improves feed utilisation, body weight gain and digestibility in Ethiopian Highland lambs.