Recent research on the transition period (TP) of dairy cows has highlighted the pivotal role of immune function in affecting the severity of metabolic challenges the animals face when approaching calving. This suggests that the immune system may play a role in the etiology of metabolic diseases occurring in early lactation. Several studies have indicated that the roots of immune dysfunctions could sink way before the “classical” TP (e.g., 3 weeks before and 3 weeks after calving), extending the time frame deemed as “risky” for the development of early lactation disorders at the period around the dry-off. Several distressing events occurring during the TP (i.e., dietary changes, heat stress) can boost the severity of pre-existing immune dysfunctions and metabolic changes that physiologically affect this phase of the lactation cycle, further increasing the likelihood of developing diseases. Based on this background, several operational and nutritional strategies could be adopted to minimize the detrimental effects of immune dysfunctions on the adaptation of dairy cows to the new lactation. A suitable environment (i.e., optimal welfare) and a balanced diet (which guarantees optimal nutrient partitioning to improve immune functions in cow and calf) are key aspects to consider when aiming to minimize TP challenges at the herd level. Furthermore, several prognostic behavioral and physiological indicators could help in identifying subjects that are more likely to undergo a “bad transition”, allowing prompt intervention through specific modulatory treatments. Recent genomic advances in understanding the linkage between metabolic disorders and the genotype of dairy cows suggest that genetic breeding programs aimed at improving dairy cows’ adaptation to the new lactation challenges (i.e., through increasing immune system efficiency or resilience against metabolic disorders) could be expected in the future. Despite these encouraging steps forward in understanding the physiological mechanisms driving metabolic responses of dairy cows during their transition to calving, it is evident that these processes still require further investigation, and that the TP—likely extended from dry-off—continues to be “the final frontier” for research in dairy sciences.