Heat shock proteins (HSPs) consist of highly preserved stress proteins that are expressed in response to stress. Two studies were carried out to investigate whether HSP genes in hair follicles from beef calves can be suggested as indicators of heat stress (HS). In study 1, hair follicles were harvested from three male Hanwoo calves (aged 172.2 ± 7.20 days) on six dates over the period of 10 April to 9 August 2017. These days provided varying temperature–humidity indices (THIs). In study 2, 16 Hanwoo male calves (aged 169.6 ± 4.60 days, with a BW of 136.9 ± 6.23 kg) were maintained (4 calves per experiment) in environmentally controlled chambers. A completely randomized design with a 2 × 4 factorial arrangement involving two periods (thermoneutral: TN; HS) and four THI treatment groups (threshold: THI = 68 to 70; mild: THI = 74 to 76; moderate THI = 81 to 83; severe: THI = 88 to 90). The calves in the different group were subjected to ambient temperature (22°C) for 7 days (TN) and subsequently to the temperature and humidity corresponding to the target THI level for 21 days (HS). Every three days (at 1400 h) during both the TN and HS periods, the heart rate (HR) and rectal temperature (RT) of each individual were measured, and hair follicles were subsequently collected from the tails of each individual. In study 1, the high variation (P < 0.0001) in THI indicated that the external environment influenced the HS to different extents. The expression levels of the HSP70 and HSP90 genes at the high-THI level were higher (P = 0.0120, P = 0.0002) than those at the low-THI level. In study 2, no differences in the THI (P = 0.2638), HR (P = 0.2181) or RT (P = 0.3846) were found among the groups during the TN period, whereas differences in these indices (P < 0.0001, P < 0.0001 and P < 0.0001, respectively) were observed during the HS period. The expression levels of the HSP70 (P = 0.0010, moderate; P = 0.0065, severe) and HSP90 (P = 0.0040, severe) genes were increased after rapid exposure to heat-stress conditions (moderate and severe levels). We conclude that HSP gene expression in hair follicles provides precise and accurate data for evaluating HS and can be considered a novel indicator of HS in Hanwoo calves maintained in both external and climatic chambers.