The objective of this study was to determine whether various sources of roughage in nutritionally balanced feedlot diets would evoke a stress response in sheep. A nutritional stress response test was performed on 20 ewes, randomly divided into four treatment groups with 5 ewes per group. Ewes were kept individually in metabolic crates for thirty days. Rations were balanced nutritionally, and various sources of roughage were included; T1: alfalfa hay, T2: maize stover, T3: soya hulls; and T4: Eragrostis tef. Faeces was removed manually from the caudal rectum of each ewe at 05h00 and 19h00. Samples were frozen at -20°C until analyses. A total of 520 faecal samples were analysed to determine the concentrations of faecal glucocorticoid metabolites (fGCM) by enzyme immunoassay (EIA). These concentrations were expressed as mass/g dry weight (ng/g DW). Baseline values were determined, and those greater than the mean plus 2 standard deviations were removed. Baseline values were compared between the groups with one-way ANOVA analysis. The average concentrations of fGCM were 178.77 ± 21.7 in the morning and 183.2 ± 14.4 in the evening. Sheep fed T4 had significantly higher fGCM concentrations in both morning (302.0 ± 86.1 ng/g DW) and evening (237.0 ± 48.1 ng/g DW) compared with the other treatment groups. Thus, fGCM concentrations in sheep were related to the source of roughage, and Eragrostis tef caused a stress response.