Recent evidence indicates that the heat stress loss on the growth performance of calves is associated with the diversion of nutrients to control enteritis and systemic inflammation. In this study, we investigated the impact of heat stress on markers of inflammation, feed use-efficiency, and growth of dairy calves. We hypothesized that dexamethasone, which is known for its immunosuppressive and anti-inflammatory properties, would reduce inflammation and restore the growth of calves exposed to heat stress. Thirty-two Holstein bull calves (body weight (BW) 68.5 ± 1.37 kg; age 3.5 ± 0.5-week-old; mean ± SD) were housed in individual pens in climate-controlled rooms at constant ambient temperature and allowed to adjust to facilities for 5 d before the start of treatments. Calves were randomly assigned to one of 4 treatments (n = 8/treatment) in a 2 × 2 factorial arrangement of environment (ENV, thermoneutral or heat stress) and intervention (INT, saline or dexamethasone) imposed for 5 d as follow: 1) thermoneutral (constant ambient temperature of 20°C 24 h/d) and administration of saline, 2) thermoneutral (constant ambient temperature of 20°C 24 h/d) and administration of dexamethasone, 3) cyclic heat stress (40°C ambient temperature, from 0800 to 1900 h/d) and administration of saline, 4) cyclic heat stress (40°C ambient temperature, from 0800 to 1900 h/d) and administration of dexamethasone. Dexamethasone (0.05 mg/kg BW), or saline (1.2 mL) was administered intramuscularly on d 1 and 3. Upon completion of treatments, calves were euthanized on d 5 to obtain jejunum mucosa samples. Commercial milk replacer, starter grain, and water were offered, and intake was monitored daily. Rectal temperature and respiratory rate were monitored 3 times daily. Blood samples were collected on d 1, 3, and 5 to determine serum pro-inflammatory cytokine concentrations. A section of the jejunum was collected and snap-frozen to determine the concentration of pro-inflammatory markers. Statistical analyses included a mixed model, fixed effects of ENV, INT, consecutive measurements taken over time (d, h, or both), replica, and random effects of calf and error (SAS version 9.4, SAS Institute Inc., Cary, NC). The measurements collected immediately before treatment allocation were included as covariates in the model. An ENV effect showed that heat stress increased rectal temperature (38.72 vs. 39.21°C), respiratory rate (36 vs. 108 breaths/min), and water intake (3.2 vs. 6.6 L/d). The treatments did not affect dry matter intake. An ENV × INT interaction showed that heat stress with saline decreased average daily gain (ADG) by 35% and tended to decrease feed use-efficiency by 36%, but the use of dexamethasone to treat heat stress restored ADG and feed use-efficiency comparable to their basal levels. An ENV × INT interaction revealed that heat stress with saline increased jejunal interleukin (IL)-6 concentration 2-fold, but dexamethasone treatment of heat stress restored jejunal IL-6 concentration to basal levels. The bioenergetic cost of the heat stress-immune pro-inflammatory response ranged between 1.18 and 1.50 Mcal of ME. Overall, the administration of dexamethasone reduced the jejunal concentration of a pro-inflammatory marker and restored the heat stress-associated reduction in growth and feed use-efficiency. The immunomodulation and anti-inflammatory effects of dexamethasone could be part of a homeorhetic change that results in a shift from maintenance functions to support growth on calves exposed to heat stress.