Heat stress has a detrimental effect on the physiological and production performance of buffaloes. Elucidating the underlying mechanisms of heat stress is challenging, therefore identifying candidate genes is urgent and necessary. We evaluated the response of buffaloes (n = 30) to heat stress using the physiological parameters, ELISA indexes, and hematological parameters. We then performed mRNA and microRNA (miRNA) expression profiles analysis between heat tolerant (HT, n = 4) and non-heat tolerant (NHT, n = 4) buffaloes, as well as the specific modules, significant genes, and miRNAs related to the heat tolerance identified using the weighted gene co-expression network analysis (WGCNA). The results indicated that the buffaloes in HT had a significantly lower rectal temperature (RT) and respiratory rate (RR) and displayed a higher plasma heat shock protein (HSP70 and HSP90) and cortisol (COR) levels than those of NHT buffaloes. Differentially expressed analysis revealed a total of 753 differentially expressed genes (DEGs) and 16 differentially expressed miRNAs (DEmiRNAs) were identified between HT and NHT. Using the WGCNA analysis, these DEGs assigned into 5 modules, 4 of which were significantly correlation with the heat stress indexes. Interestingly, 158 DEGs associated with heat tolerance in the turquoise module were identified, 35 of which were found within the protein-protein interaction network. Several hub genes (IL18RAP, IL6R, CCR1, PPBP, IL1B, and IL1R1) were identified that significantly enriched in the Cytokine-cytokine receptor interaction. The findings may help further elucidate the underlying mechanisms of heat tolerance in buffaloes.