Heat stress influences lipid metabolism independently of nutrient intake. It is not well understood how cholesterol and bile acid (BA) metabolism are affected by heat stress. To investigate the alterations of cholesterol and bile acids when pigs are exposed to short term heat stress, 24 Large White pigs (63.2 ± 9.5 kg body weight, BW) were distributed into one of three environmental treatments: control conditions (CON, 23 °C with ad libitum intake; n = 8), heat stress conditions (HS, 33 °C with ad libitum intake; n = 8), or pair-fed conditions (PF, 23 °C with the same amount to the feed consumed by the HS; n = 8) for three days. Compared with CON pigs, HS pigs reduced the average daily feed intake and average daily gain by 55% and 124%, respectively, and significantly increased rectal temperatures by 0.9 °C and respiration rates more than three-fold. The serum total cholesterol (TC), low-density lipoprotein-cholesterol, and triglycerides (TG) increased ( p < 0.05), while hepatic TC, TG, and mRNA of 3-hydroxy-3-methylglutaryl-CoA reductase were reduced on day 3. Furthermore, liver taurine-conjugated BAs (TCBAs), including taurolithocholic acid, taurochenodeoxycholic acid (TCDCA), tauroursodeoxycholic acid, taurohyodeoxycholic acid, and taurocholic acid were elevated in HS pigs compared to CON and PF pigs ( p < 0.05), and the level of chenodeoxycholic acid was more significant in the PF group than in the CON and HS groups. The concentration of ursodeoxycholic acid in the serum was higher in HS pigs than CON and PF pigs ( p < 0.05), and TCDCA was increased in HS pigs compared with PF pigs ( p < 0.05). Altogether, short-term HS reduced hepatic cholesterol levels by decreasing cholesterol synthesis, promoting cholesterol to TCBAs conversion, and cholesterol release to serum in growing pigs. This independently reduced feed intake might serve as a mechanism to protect cells from damage during the early period.