The aim of this study was to investigate the interferon tau (IFNt) concentration in the peripheral maternal blood during the early phase of pregnancy in buffalo cows and improve the knowledge on the physiological importance of circulating IFNt, evaluating the possible interaction with pregnancy-associated glycoproteins (PAGs) and progesterone (P4). Blood samples were taken from buffalo cows on day 0 (day of AI), 7, 14, 18, 28, and 40 post insemination for the IFNt, PAG, and P4 analysis and to determine the IFNt mRNA expression. The animals were categorized ex post into Pregnant, Non-pregnant and Embryo mortality groups. The interferon value was influenced by group (p = 0.003), being always higher in pregnant buffalo cows than in non-pregnant ones, while the embryo mortality group showed intermediate values between those for pregnant and non-pregnant animals. The mRNA expression of IFNt was not influenced by groups or any time points. The regression analysis that included IFNt as the independent variable showed that PAGs, from day 18 (p < 0.01), and P4, from day 28 (p < 0.05), were positively associated with IFNt values. The close associations among IFNt, PAGs and P4 demonstrate that all three molecules work together for fetal–placental well-being and pregnancy support. Unfortunately, the great individual variability in circulating IFNt makes this analysis unsuitable for early pregnancy diagnosis.