The long exposure to heat negatively changes performance and productivity of animals, particularly when heat stress is associated with gestation. Indeed, little is known about the negative effects of long-term heat stress on the final gestation of dairy goats. In this context, the physiological and cellular responses of Saanen goats submitted to heat stress (37°C from 10:00 to 16:00 h) were investigated from day 60th pre-partum to day 60th post-partum. At final gestation, 46 pregnant Saanen goats were randomly assigned to the treatments: control (CT; thermal neutral conditions) and heat stress (HS; climatic chamber). After partum, all experimental goats were maintained in thermal neutral conditions. The rectal, dorsal, mammary temperatures and respiratory frequency, cortisol release, milk yield, milk quality, and the genes HSP60, HSP70, HSP90, Glucocorticoid receptor and ACTHR. Goats subjected to HS showed significantly (P < 0.05) higher rectal, dorsal, and mammary temperatures and significantly mobilized the increase of respiratory frequency to lose heat as compared to CT goats. The HS challenge significantly increased cortisol release from day 15th pre-partum to day 15th post-partum. CT goats produced more milk than HS from weeks 4 to 10 of lactation (P <0.001), with no difference in milk quality. However, on day 15th post-partum, there was a significant effect of HS treatment on the expression of HSP70 and ACTHR genes as compared to CT treatment, confirming the long-term effect of HS on Saanen goats. In conclusion, the physiological parameters studied increased pre-partum in the hottest hour, and cortisol peaked on day 15 pre-partum for heat-stressed goats. Although on the 15th day post-partum, all goats were in thermal comfort, and the physiological parameters were within the normal range, the concentration of cortisol continued to be significantly higher for goats submitted to thermal stress. Indeed, milk yield was greater for goats subjected to pre-partum thermal comfort. Furthermore, the expression of HSP70 and ACTHR genes on peripheral blood mononuclear cells are interesting biomarkers for studying the long-term effect of heat stress on Saanen goats.