In summer, heat stress is one of the primary reasons for the compromised health and low milk productivity of dairy cows. Hyperthermia affects milk synthesis and secretion in the mammary glands of dairy cows. As molecules for intercellular communication, milk-derived exosomes carry genetic material, proteins, and lipids, playing a crucial role in mammary tissue growth and milk synthesis in dairy cows. The aim of this study was to explore the milk exosomal miRNA profile of heat-stressed and normal Holstein cows. We isolated and identified milk exosomes to screening for differentially expressed miRNAs using small RNA sequencing. Then, TargetScan and miRanda algorithms were used to predict the putative targets of the differentially expressed miRNAs, whereas GO and KEGG pathway enrichment analyses were performed for the differentially expressed miRNA-target genes. Our results showed that 215 miRNAs were significantly differentially expressed in heat-stressed milk exosomes, of which one was upregulated and 214 were significantly downregulated. GO and KEGG enrichment analyses indicated that differentially expressed miRNAs might play a role in apoptosis, autophagy, and the p38 MAPK pathway. qRT-PCR assay verified that the expression of miRNAs was consistent with the sequencing results, warranting further verification of their specific targets of action. In conclusion, changes in the miRNA expression profile of milk exosomes indicated the role of exosomal miRNAs in regulating heat stress resistance and apoptosis in dairy cows. Our results suggested that milk-derived exosomal miRNAs could increase mammary gland resistance to heat stress, thereby enhancing milk synthesis in dairy cows.