Heat stress has been reported to affect the immunity of dairy cows. However, the mechanisms through which this occurs are not fully understood. Two breeds of dairy cow, Holstein and Jersey, have distinct characteristics, including productivity, heat resistance, and disease in high-temperature environments. The objective of this study is to understand the dynamics of the immune response of two breeds of dairy cow to environmental change. Ribonucleic acid sequencing (RNA-seq) results were analyzed to characterize the gene expression change of peripheral blood mononuclear cells (PBMCs) in Holstein and Jersey cows between moderate temperature-humidity index (THI) and high THI environmental conditions. Many of the differentially expressed genes (DEGs) identified are associated with critical immunological functions, particularly phagocytosis, chemokines, and cytokine response. Among the DEGs, CXCL3 and IL1A were the top down-regulated genes in both breeds of dairy cow, and many DEGs were related to antimicrobial immunity. Functional analysis revealed that cytokine and chemokine response-associated pathways in both Holstein and Jersey PBMCs were the most important pathways affected by the THI environmental condition. However, there were also breed-specific genes and pathways that altered according to THI environmental condition. Collectively, there were both common and breed-specific altered genes and pathways in Holstein and Jersey cows. The findings of this study expand our understanding of the dynamics of immunity in different breeds of dairy cow between moderate THI and high THI environmental conditions.