The purpose of this study was to evaluate the effect of protected fat and heat-extruded soybean meal on the lactation performance of Holstein cows. Twenty-four cows, consisting of 20 lactating cows and 4 rumen-fistulated dry cows, were randomly allocated into four groups with 5 lactating cows and 1 fistulated cow in each group. A replicated 4×4 Latin square design with four 21 day periods, including 14 days of adaptation and 7 collection days within each period was employed. The experiment was a 2×2 arrangement, with or without heat-extruded soybean meal and protected fat inclusion. The dietary treatments consisted of supplements of (a) soybean meal (the control), (b) heat-extruded soybean meal, (c) protected fat, and (d) heat-extruded soybean meal and protected fat. The results showed that there were no significant differences in feed intake, milk yield, milk protein content, milk lactose content and body weight change between the dietary treatments. However, cows supplemented with protected fat showed a significantly increased (p<0.05) milk fat yield, 3.5% FCM and total solid yield. The increase in undegradable intake protein (UIP) via heat extruded soybean meal supplement significantly decreased the urea nitrogen concentration in the blood (p<0.05). Dietary fat inclusion significantly increased the blood cholesterol concentration (p<0.01) and decreased the ruminal pH value (p<0.01). Increased dietary UIP significantly decreased the ammonia nitrogen concentration in the rumen (p<0.01), but did not significantly influence the pH and VFA molar percentage in the rumen. It appears that dietary protected fat inclusion could improve milk fat and solid content. Increased dietary undegradable intake protein through heat extruded soybean meal did not improve milk yield. But it could alleviate the adverse effect of decreased milk protein due to dietary fat supplementation. Increased UIP could also decrease the ammonia nitrogen concentration in the rumen and plasma urea nitrogen concentration in the blood.