The possible effect of heat stress (HS), measured with the temperature–humidity index (THI) across seasons of the year (SY) upon milk production (MP), feed-to-milk efficiency (FME), and cow comfort (CC) was assessed in Holstein–Friesian cows in northern-arid Mexico. Data from 2467 cows (2146 milking and 321 dry) were recorded across SY [spring (SP), summer (SM), autumn (AT), and winter (WN)] between 2016 and 2019 in an intensive dairy farm located in the Comarca Lagunera (25° NL) with large fluctuations regarding ambient temperature and solar radiation. The THI was stratified into four classes: non-HS, p p p p p < 0.05) among seasons, with diverse lying times (h); WT, 10.5; AT, 10.20; SP, 9.3 h; and 8.8 in SM. Finally, the potential economic burden that HS caused at the producer (USD 233.2 million) and industry-market levels (USD 311.1 M), as well as its impact upon nutrient and alimentary security at the society level (i.e., 311 M milk liters and 195,415.82 Gcal), were also quantified.