Step behavior, heart rate (HR), the high-frequency (HF) component of heart rate variability (HRV), the ratio of the low-frequency (LF) and HF components (LF/HF ratio) as well as rumination behavior during milking were investigated in dairy cows milked in a high-capacity rotary milking system (n = 49) to study animals' stress responses to the milking process. Cardiac parameters were analyzed for undisturbed standing (baseline) and for the stages of the morning, afternoon, and evening milking processes (i.e., driving animals from the barn to the pre-milking holding pen, premilking holding pen, preparation, milking, and waiting after milking in the milking stall). During driving, HR was greater than during all other stages. After driving, a gradual decrease in HR was observed. The HF decreased during driving, indicating a decrease in vagal tone compared with baseline. When animals were in the holding pen, vagal tone decreased, whereas sympathetic tone increased with lower values than recorded for baseline and driving. During preparation, HF values were still lower than those recorded for baseline. The recovery of the autonomic activity was observed following preparation as indicated by increased HF and decreased LF/HF ratio during milking and waiting stages. During milking, 53.1% of the animals ruminated. The frequency of steps was greater during preparation (3.7 ± 1.8 steps/min) than during milking (0.7 ± 0.4 steps/ min) and waiting after milking (1.6 ± 1.0 steps/min). Our results suggest that being in the holding pen is stressful for cows; however, vagal predominance from the onset of milking, the low frequency of steps, and the high prevalence of rumination during milking suggest a possible welfare benefit of the investigated rotary milking system.