In hot climates, the combination of high temperature, humidity and intense solar radiation impose stress to the animals, especially if temperature is not sufficiently reduced during the night or if animals do not have protection against high temperatures or radiation, which is very frequent in the tropics. Variation in environmental variables between and within days affects the negative impact on dairy production. The present trials aimed to evaluate the effect of mild and moderate heat stress on dairy production, stability and physicochemical characteristics of milk. The temperature and humidity index (THI) was used to classify the heat stress as mild (72 to 78) or moderate (79–88). Two experiments were conducted in the tropical region, from January to March, on Tifton pasture. The first was conducted with 16 lactating Holstein cows, 520 ± 74 kg BW, BCS of 3.0 ± 0.3, MY of 21.5 ± 4.2 kg/day, 120 ± 61.2 DIM. The second trial was carried out with 14 lactating Holstein cows, 537.6 ± 93.5 kg of BW, BCS of 2.8 ± 0.3, MY of 20.6 ± 6.5 kg/day, 149.3 ± 48.9 DIM. In both trials the cows were allocated into 2 groups: paddocks without shade (NSH) and paddocks with natural shade (SH) - more than 10m²/head of shade. At 15:00 h, under mild stress, paddocks with shade and without shade presented THI values of 75.2 and 77.7, respectively. Under moderate stress, THI values in paddocks with and without shade were 77.7 and 83.8, respectively. Under mild stress, cows in NSH and SH did not present any differences in MY and composition. Under moderate stress, cows in NSH decreased MY by 50%, ethanol stability from 75% to 68%v/v, coagulation time from 190 s to 49 s, crude protein by 15%, lactose by 4% while they increased titratable acidity by 43%, fat by 13% and MUN by 12% when compared with cows in SH. After 1 week of regaining access to shade, all differences disappeared. Shade kept MY and milk composition within normal range under moderate stress. Under mild stress shade did not provide beneficial effects on milk yield and composition.