Heat stress (HS) severely impacts the productivity and welfare of dairy cows. Investigating the biological mechanisms underlying HS response is crucial for developing effective mitigation and breeding strategies. Therefore, we evaluated the changes in milk yield, physiological indicators, blood biochemical parameters, and alternative splicing (AS) patterns of lactating Holstein cows during thermoneutral (TN, N = 19) and heat-stress (HS, N = 17) conditions. There was a significant (p < 0.05) decline in milk yield as physiological indicators increased after exposure to natural HS conditions. The levels of eight out of 13 biochemical parameters of HS were also significantly altered in the presence of HS (p < 0.05). These results demonstrate that HS negatively influences various biological processes of Holstein cows. Furthermore, we investigated AS events based on the RNA-seq data from blood samples. With HS, five common types of AS events were generally increased by 6.7–38.9%. A total of 3470 AS events corresponding to 3143 unique genes were differentially alternatively spliced (DSGs) (p-adjusted < 0.05) between TN and HS groups. The functional annotation results show that the majority of DSGs are involved in mRNA splicing and spliceosomal complex, followed by enrichment in immune and metabolic processes. Eighty-seven out of 645 differentially expressed genes (DEGs) (fold change ≥ 1.5 and false discovery rate < 0.05) overlapped with DSGs. Further analyses showed that 20 of these genes were significantly enriched for the RNA splicing, RNA binding, and RNA transport. Among them, two genes (RBM25 and LUC7L3) had strong interrelation and co-expression pattern with other genes and were identified as candidate genes potentially associated with HS responses in dairy cows. In summary, AS plays a crucial role in changing the transcriptome diversity of heat-stress-related genes in multiple biological pathways and provides a different regulation mechanism from DEGs.