Milk transcriptome characterization could help in understanding how milk synthesis and mammary cell turnover are affected by heat stress. Eight multiparous Murciano-Granadina dairy goats (44.1 ± 1.7 kg BW; 2 ± 0.04 L/d; 90 ± 3 DIM) were kept in metabolic cages and randomly assigned to 2 climatic treatments according to a crossover design (2 28-d periods). Treatments were:1) thermal neutral (TN; 15 to 20°C, 40 to 45% humidity, THI = 59 to 65), and 2) heat stress (HS, 12 h/d at 37°C and 40%, and 12 h/d at 30°C and 40%, THI = 86 and 77, respectively). Milk samples were collected at d 28 of each period, somatic cells were separated, and RNA was extracted. The RNA of 4 goats for each treatment at each period was mixed, resulting in final 4 RNA samples (2 TN and 2 HS) that were analyzed by Illumina RNA-sequencing (RNA-Seq). The RNA –Seq reads were mapped to the bovine genome by “tophat” and the expression level was quantified by “cufflinks.” The RNA-Seq produced a total of ~170 million reads with an average of 85 million reads for each treatment (range of reads for the 4 samples was 38 to 46 million). We detected 140,39 transcripts expressed in milk cells, 700 of them were differentially (P < 0.01) expressed between HS and TN. The HS reduced (P < 0.01) the expression of genes related to de novo fat synthesis (ACACA and FASN), fatty acid desaturation (SCD), milk fat globule formation (BTN1A1, XDH, and GLYCAM1), and protein and lactose synthesis (CSN1S1, CSN1S2, CSN3, and LALBA). The HS upregulated (P < 0.01) cathepsin genes (CTSB, CTSD, CTSZ, CTSS, CTSC, and CTSL1) as well as genes related to plasminogen pathway (PLAU, PLAUR) and ubiquitin-proteasome pathway (FBXW2, UBAP1, RPS27A). Furthermore, HS increased (P < 0.05) the expression of the pro-apoptotic tumor necrosis factor receptors superfamily (TNFRSF1A and TNFRSF1B). Seven miRNA (miR-23a, miR-24–2, miR-27a, miR-29c, miR-29d, miR-142, and miR-221) had a greater (P < 0.01) expression with HS. In conclusion, heat stress reduces the synthetic capacity of mammary cells and increases the expression of proteases in milk. This increase in proteases expression could negatively affect milk coagulation properties and cheese making using milk produced from heat-stressed goats.