The milk yield of dairy cows in a non-stressed state in the cold region in China is lower during cold seasons. In this study, the correlations between indoor environmental factors and milk production were analyzed. Temperature, relative humidity, and light intensity were found to be the main factors affecting milk yield. The warning values of these factors for lower milk production were 5 °C, 60%, and 300 lx, respectively. A neural network model predicting milk yield based on environmental factors was established, and the optimal model parameters were determined, resulting in a high accuracy of R2 = 0.802. This model was used to investigate the optimal measure for improving the indoor environment, which helps to increase milk production and economic benefits, including LED lights, heating radiators, and dehumidifiers. In conclusion, each type of device led to the growth of milk yield, reaching 2.341, 1.706, and 1.893 kg cow−1 Day−1. The combination of heating radiator and LED light resulted in the highest increased net benefit of 16.802 CNY cow−1 Day−1. This is the first time that a neural network model was successfully built to predict milk yield based on climatic features which was also applied to economic analysis of indoor environment improvement for dairy barns in extreme cold regions.