Heat stress poses an increasing risk to welfare, health and productivity of dairy cows, especially for cows on pasture. To apply timely mitigation strategies for grazing cows, simple indicators are needed that signal heat stress. We conducted an exploratory study on the behaviour of grazing dairy cows in relation to the environmental heat load on four commercial dairy farms in Switzerland with herd sizes ranging from 20 to 57 cows. In a scan-sampling procedure standing/lying, feeding/ruminating, low inter-individual distances, proximity to drinker, use of natural shade and insect infestation were observed during 30 days (5–9 days/per farm). Additionally, 10 focal cows per farm were equipped with accelerometers to analyse lying duration and locomotor activity during on average 46 days per farm. On one farm all cows (N = 57) were equipped with GPS devices which were used to calculate inter-individual distances among cows continuously during 69 days. Air temperature and relative humidity were recorded to calculate the temperature-humidity index (THI). For behaviours recorded in direct observations, a principal component analysis was performed for variable reduction. The first three principal components (PC) as well as the variables from automatic measurements were used as outcome variables in mixed effects models with daily maximum THI (THImax), time of day (continuous, in 10 min intervals) and their interaction as explanatory variables. The three PCs could be described as: “feeding and standing”, “proximity to drinker” and “standing in close proximity and seeking shade”. The daily pattern of these PC's differed by THImax (interaction time of day * THImax; all p < 0.01). On days with high THImax compared to days with lower THImax cows were seen more often close to the drinker in the morning, but not in the afternoon when they were observed standing close to each other and in the shade. On days with high THImax, cows also were lying less and increased their locomotor activity towards noon (interaction time of day * THImax; p < 0.001). Data from GPS devices confirmed the findings: On days with high THImax, cows reduced their inter-individual distances over the course of the day, while this was not observed on days with lower THImax (interaction time of day * THImax; p < 0.001). Insect infestation increased with higher THImax. We conclude that a distinct change in daily behavioural patterns, especially a reduction of lying behaviour, an increase in locomotor activity and a decrease in inter-individual distances could be used to monitor heat stress of dairy cows on pasture.