Animal health is affected during heat stress as a result of impaired immune responses, increased production of reactive oxygen species, and/or a deficiency of antioxidants. This leads to an imbalance between oxidants and antioxidants and results in oxidative stress. Heat stress is usually measured in dairy cattle via the temperature-humidity index (THI). In the present study, we aimed at assessing the influence of incremental THI on the balance between oxidative markers and the antioxidant defence system in the plasma of Modicana cows. Twenty-four multiparous, mid-lactating dairy cows were divided into two groups on the basis of different levels of mean THI reached in the period of the previous week up until the day of blood and milk sampling (April THI1:55, May THI2:68, June THI3:71, July THI4:80). The blood samples were collected to measure reactive oxygen metabolites (ROM) and antioxidant defense markers (ferric reducing ability of plasma (FRAP), paraoxonase (PON), advanced oxidation protein products (AOPP), plasma thiol groups (SHp), as well as lipid-soluble antioxidant pro-vitamin (β-carotene) and vitamins (tocopherol and retinol). Milk characteristics, haematological values, and plasma biochemical metabolites were also evaluated. Results showed a significant increase in ROM (p < 0.05) and a significant decrease in PON (p < 0.05), AOPP (p < 0.05), and β-carotene (p < 0.001). Incremental THI significantly decreased levels of milk fat content, red and white blood cells, plasma glucose, and non-esterified fatty acids, while significantly increasing monocytes and the concentrations of β-hydroxybutyrate and creatinine, but not fructosamine. The results of the study show that heat stress significantly affects reactive oxygen species production and antioxidant parameters. Carotenoid supplementation should be considered to alleviate the impact of these effects.