The objective of this study was to assess the effects of the exposure to daily maximum and temperature-humidity index (THI) and to daily THI fluctuations (∆THI = maximum THI–minimum THI) at exposure periods comprising 2 d before birth to birth (−2 d), birth date (0 d), birth to 2 d of age (+2 d), and birth to 7 d of age (+7 d) on serum total proteins (STP), transfer of passive immunity (TPI), and the occurrence of scours and respiratory disease. A total of 841 Holstein heifer calves were retrospectively observed from −2 d until 65 d of age. Colostrum quality was assessed using a colostrometer to ensure a minimum globulin concentration of 52 mg/mL in the colostrum fed to the study calves. Two temperature and relative humidity sensors were installed at the calf yard. Maximum, minimum, and ∆THI values were obtained for each exposure period, and thermal exposure categories were defined as heat stress (HS: maximum THI > 70 units; non-HS: THI ≤ 70 units) and ∆THI (low < 20 units, medium ≥ 20 to ≤30 units, high > 30). The TPI was classified as poor (STP < 5.1 g/dL), fair (5.1 and 5.7 g/dL), good (>5.7 and 6.1 g/dL), and excellent (≥6.1 g/dL). Associations between the thermal exposure categories and the study outcomes were examined using ANOVA, logistic regression, and survival analyses. No differences in STP at −2 d were observed between HS and non-HS calves (6.83 ± 0.05 vs. 6.91 ± 0.05 g/ dL), whereas HS-exposed calves at 0 d tended to have lower STP compared with non-HS calves (6.82 ± 0.05 vs. 6.92 ± 0.05 g/dL). Calves exposed to small ∆THI at 0 d had greater STP compared with calves exposed to medium ∆THI (7.00 ± 0.06 vs. 6.75 ± 0.05 g/dL). No association was found between HS, and ∆THI categories and the TPI category. The odds of scours were about 2 times greater in HS calves compared with non-HS calves at all exposure periods. In addition, HS calves were affected by scours between 9 and 15 d earlier than non-HS calves. Furthermore, high ∆THI favored the development of respiratory problems compared with medium and low ∆THI. Assessment of extreme THI values and THI fluctuations provides a research opportunity for assessing thermal stress in dairy heifer calves raised in dry climate.