We estimated thermal stress in 7-week old Holstein bull calves during a warm episode in summer to study acute physiological responses of calves to heat stress. Data were collected over a 5-day period: day 1 (control), day 2 (heat stress), and a 3-day post-stress period in shaded (n = 8) and unshaded (n = 8) thermal environments. On the control day, both groups were shaded. Thermal environment was characterized by relative humidity, ambient temperature, and the temperature–humidity index (THI). Physiological variables included respiratory rate, rectal temperature, ear skin temperature and heart rate. Correlations between animal-based and meteorological indices were calculated, and ambient temperature correlated slightly better with physiological measures than THI. Rectal temperature was the only animal-based parameter that showed stronger correlations with the thermal indices when calculated for the shaded than for the unshaded environment [r = 0.42 vs. r = 0.47, P = 0.032 (ambient temperature), r = –0.39 vs. r = –0.45, P = 0.012 P = 0.015 (relative humidity), r = 0.41 vs. r = 0.46, P = 0.022 (THI)]. No differences were found between groups during the control day for any of the physiological parameters. During days 2 and 3, average and maximal values of respiratory and heart rates were higher in unshaded calves than in shaded ones. Maximal respiratory rates were in average by 25.9, 17.8 and 10.1 breaths/min lower in shaded calves than in unshaded calves for days 2, 3 and 4, respectively (P < 0.001, P < 0.001 and P = 0.024). Maximal heart rate was 127.4 ± 8.5 vs. 99.2 ± 6.3 beats/min on the heat stress day (P < 0.001), and 121.0 ± 6.9 vs. 103.4 ± 7.7 beats/min on day 3 (P = 0.006) in unshaded and shaded calves, respectively. Maximal body temperatures were higher measured either in the rectum or on the ear skin in unshaded calves than in shaded ones (with 0.5 and 1.6°C, P = 0.040 and P = 0.018, respectively), but only on the heat stress day. Based on our results, shading of young calves may be adequate for alleviating acute heat stress in continental regions. Ambient temperature is appropriate to estimate acute heat stress in dairy calves.