Abstract Data used in the present study included 1,095,980 first-lactation test-day records for protein yield of 154,880 Holstein cows housed on 196 large-scale dairy farms in Germany. Data were recorded between 2002 and 2009 and merged with meteorological data from public weather stations. The maximum distance between each farm and its corresponding weather station was 50km. Hourly temperature-humidity indexes (THI) were calculated using the mean of hourly measurements of dry bulb temperature and relative humidity. On the phenotypic scale, an increase in THI was generally associated with a decrease in daily protein yield. For genetic analyses, a random regression model was applied using time-dependent (d in milk, DIM) and THI-dependent covariates. Additive genetic and permanent environmental effects were fitted with this random regression model and Legendre polynomials of order 3 for DIM and THI. In addition, the fixed curve was modeled with Legendre polynomials of order 3. Heterogeneous residuals were fitted by dividing DIM into 5 classes, and by dividing THI into 4 classes, resulting in 20 different classes. Additive genetic variances for daily protein yield decreased with increasing degrees of heat stress and were lowest at the beginning of lactation and at extreme THI. Due to higher additive genetic variances, slightly higher permanent environment variances, and similar residual variances, heritabilities were highest for low THI in combination with DIM at the end of lactation. Genetic correlations among individual values for THI were generally >0.90. These trends from the complex random regression model were verified by applying relatively simple bivariate animal models for protein yield measured in 2 THI environments; that is, defining a THI value of 60 as a threshold. These high correlations indicate the absence of any substantial genotype × environment interaction for protein yield. However, heritabilities and additive genetic variances from the random regression model tended to be slightly higher in the THI range corresponding to cows’ comfort zone. Selecting such superior environments for progeny testing can contribute to an accurate genetic differentiation among selection candidates.