This manuscript is aimed at reviewing the performance responses of dairy cattle against thermal stress resulting from climate change. Climate change is the major factor that largely affects the dairy industry. Thermal stress (TS) is the perceived discomfort and physiological strains associated with exposure to excessive ambient temperature. Temperature and Humidity Index (THI) have been adopted to describe thermal conditions that drive thermal stress in dairy cattle. The effects of TS are devastating in the dairy industry if not managed well. The thermo-neutral zone for dairy cattle and calves in the tropics is THI <72. Milk yield reductions of up to 50% have been reported for Holstein cows due to thermal stress under summer climate conditions. Moreover, thermal stress is associated with alterations in milk composition. TS reduces the length and intensity of estrus manifestation. Moreover, 80% of estrus may be unnoticeable during the summer season in temperate regions, which further reduces fertility. Conception rates of dairy cows may drop up to 20–27% in the summer season. Climate-induced thermal stress resulted in a decrease of 3.5 kg and 25 kg in the birth weight and weaning weight of Fogera calves, respectively. Dry matter feed intake was reduced by 9.6%. Commonly used thermal stress reduction strategies included modification of the physical environment, breeding for heat-tolerant dairy cattle, and nutritional management. The productive and reproductive traits are susceptible to the negative impacts of thermal stress with an increase in THI above 68.0 for Holstein Frisian cattle and their crosses and 72 for tropical cattle under an open shed system. Mitigations of thermal stress by breeding heat-tolerant animals, using a loose house system, and season-based feeding should be considered an integral component of the dairy cattle management system.