High temperature is a major stress that negatively affects welfare, health, and productivity of dairy animals. Heat-stressed animals are more prone to disease, suggesting that their immunity is hindered. Although productive and physiologic responses of dairy animals to heat stress are well known, there is still limited information on the response at the transcriptome level. Our objective was to evaluate the changes in performance and blood transcriptomics of dairy goats under heat stress. Eight multiparous Murciano-Granadina dairy goats in mid-lactation were assigned to 1 of 2 climatic treatments for 35 d. Treatments and temperature-humidity index (THI) were: (1) thermal neutral (TN: n = 4; 15–20 °C, 40–45%, THI = 59–65), and (2) heat stress (HS: n = 4; 12 h at 37 °C–40%, THI = 86; 12 h at 30 °C–40%, THI = 77). Rectal temperature, respiratory rate, feed intake and milk yield were recorded daily. Additionally, milk composition was evaluated weekly. Blood samples were collected at d 35 and RNA was extracted for microarray analyses (Affymetrix GeneChip Bovine Genome Array). Differences in rectal temperature and respiratory rate between HS and TN goats were maximal during the first 3 d of the experiment, reduced thereafter, but remained significant throughout the 35-d experimental period. Heat stress reduced feed intake, milk yield, milk protein and milk fat contents by 29, 8, 12, and 13%, respectively. Microarray analysis of blood revealed that 55 genes were up-regulated, whereas 88 were down-regulated by HS. Bioinformatics analysis using the Dynamic Impact Approach revealed that 31 biological pathways were impacted by HS. Pathways associated with leukocyte transendothelial migration, cell adhesion, hematopoietic cell lineage, calcium signaling, and PPAR signaling were negatively impacted by HS, whereas nucleotide metabolism was activated. In conclusion, heat stress not only negatively affected milk production in dairy goats, but also resulted in alterations in the functionality of immune cells, which would make the immune system of heat-stressed goats less capable of fending-off diseases.