Chronic heat stress (HS), aggravated by global warming, reduces the production efficiency of the buffalo dairy industry. Here, we conducted a proteomic analysis to investigate the adaptation strategies used by buffalo in response to heat stress. Seventeen differentially abundant proteins with known functions were detected using label-free quantification (LFQ), and five of these differentially expressed proteins were validated with parallel reaction monitoring (PRM). These five proteins were associated with various aspects of heat stress, including decreased heat production, increased blood oxygen delivery, and enhanced natural disease resistance. Lipase (LPL), glutathione peroxidase 3 (GPX3), cathelicidin-2 (CATHL2, LL-37), ceruloplasmin (CP), and hemoglobin subunit alpha 1 (HBA1) were shown to play cooperative roles in the tolerance of chronic HS in dairy buffalo. We found that high levels of HBA1 increased blood oxygen transport capacity. Our results increase our understanding of the adaptation of dairy buffalo to chronic heat stress.