Tropical and sub-tropical climates are characterized by high temperature and humidity, during at least part of the year. Consequently, heat stress is common in Holstein cattle and productive and reproductive losses are frequent. Our objectives were as follows: (1) to quantify losses in production and quality of milk due to heat stress; (2) to estimate genetic correlations within and between milk yield (MY) and milk quality traits; and (3) to evaluate the trends of genetic components of tolerance to heat stress in multiple lactations of Brazilian Holstein cows. Thus, nine analyses using two-trait random regression animal models were carried out to estimate variance components and genetic parameters over temperature-humidity index (THI) values for MY and milk quality traits (three lactations: MY × fat percentage (F%), MY × protein percentage (P%) and MY × somatic cell score (SCS)) of Brazilian Holstein cattle. It was demonstrated that the effects of heat stress can be harmful for traits related to milk production and milk quality of Holstein cattle even though most herds were maintained in a modified environment, for example, with fans and sprinklers. For MY, the effect of heat stress was more detrimental in advanced lactations (−0.22 to −0.52 kg/day per increase of 1 THI unit). In general, the mean heritability estimates were higher for lower THI values and longer days in milk for all traits. In contrast, the heritability estimates for SCS increased with increasing THI values in the second and third lactation. For each trait studied, lower genetic correlations (different from unity) were observed between opposite extremes of THI (THI 47 v. THI 80) and in advanced lactations. The genetic correlations between MY and milk quality trait varied across the THI scale and lactations. The genotype × environment interaction due to heat stress was more important for MY and SCS, particularly in advanced lactations, and can affect the genetic relationship between MY and milk quality traits. Selection for higher MY, F% or P% may result in a poor response of the animals to heat stress, as a genetic antagonism was observed between the general production level and specific ability to respond to heat stress for these traits. Genetic trends confirm the adverse responses in the genetic components of heat stress over the years for milk production and quality. Consequently, the selection of Holstein cattle raised in modified environments in both tropical and sub-tropical regions should take into consideration the genetic variation in heat stress.