Access to markets plays a significant role in assuring better income and welfare levels for smallholder livestock producers, and thus contributing to poverty alleviation. This study determined the income effects of participating in livestock markets based on 4, 286 smallholder panel households in Zambia. The study reported here used three-period panel dataset, which is much richer and more able to inform policy more forcefully. Longitudinal data also provide greater leverage to reduce bias due to unobserved effects. The data were collected by the Central Statistical Office with financial and technical support from Michigan State University Food Security Research Project. A probit model was estimated to indentify factors influencing participation in goat, cattle and chicken markets based on the initial conditions. It is clear that the individual factors that influence participation in livestock markets vary by livestock type. The income effects were determined by the matched double difference estimator on full sample and sub samples disaggregated by gender of household head. While income effects were huge and significant for households participating in goats and cattle markets, they were small and insignificant for households participating in chicken markets. The findings point to the need of reinforcing the extension services in the livestock sector that is targeted at improving livestock productivity and livestock health. Interventions in livestock marketing should encourage women participation as this will help improve the welfare of female headed households.