The energy status of dams during the early stages of gestation may affect ovarian reserve. It was hypothesized that greater milk yield and composition during the early stages of gestation may suppress the number of primordial follicles in the fetuses of dairy cattle. This study aimed to evaluate the anti-Müllerian hormone (AMH), used as an indicator of ovarian reserve, in female Holstein calves immediately after birth. It also examined the relationship between the AMH concentrations and the milk yield and composition of dams during early pregnancy. A total of 85 female Holstein calves (born to first-calving cows [nulliparous heifers], n = 31; second-calving [primiparous] cows, n = 22; and third- or subsequent-calving [multiparous] cows, n = 32) were examined. Blood samples were collected from the female calves after birth and before the first colostrum feeding for the analysis of plasma AMH concentrations. Data on daily milk yield and monthly milk composition during the 1st to 6th month of pregnancy were additionally collected from milking dams. The plasma AMH concentrations ranged from 0.106 to 1542.3 pg/mL, with an average of 291.6 ± 30.5 pg/mL. There was no significant difference observed among the plasma AMH concentrations in female calves born from nulliparous heifers, primiparous cows, multiparous cows. Primiparous cows exhibited numerous negative correlations between the plasma AMH concentrations of their female calves immediately after birth and the daily milk yield and milk composition from the 1st to the 4th month of pregnancy; there was, however, no correlation observed in multiparous cows. Overall, there were large individual variations observed in the plasma AMH concentrations immediately after birth. Both milk yield and the amount of milk components strongly influenced the plasma AMH concentrations in calves immediately after birth in primiparous cows in the growth phase. These factors, conversely, did not affect the plasma AMH concentrations of calves in multiparous cows. The results of this study suggest that high-producing pregnant primiparous cows devote more energy to their growth and lactation, potentially compromising the reproductive potential of their offspring. Thus, improving the feeding management of primiparous cows with the goal of increasing the fertility of their progeny will help high-yielding dairy cows reproduce more successfully.