The objective of this study was to investigate the effect of seasonal thermal stress on serum hormones, oxidative status, and immune response of periparturient dairy cows. A total of 32 healthy Holstein dairy cows in the perinatal period with the same date of delivery were selected (eight cows per season) and housed in a free-stall barn. Different seasons corresponded to different temperature– humidity indices (THI). Regression analysis revealed a strong positive correlation between THI and rectal temperature and respiratory rate. On the day of calving, the level of progesterone and oestradiol increased and prolactin decreased substantially at a high THI. For oxidative stress biomarkers, the contents of malondialdehyde, superoxide dismutase, and catalase were substantially higher at a low THI. Glutathione peroxidase was increased at a high THI. For immune responses, the data indicated that low and high THI conditions led to an increase in interleukin-2 and interleukin-10. Low THI cows exhibited a substantially higher level of tumour necrosis factor-α before calving. Oxidative stress, inflammatory response, and endocrine imbalance therefore occur in lactating dairy cows in hot summers and cold–wet winters in comparison with comfortable seasons.