Heat stress during the dry period compromises mammary gland growth, thus negatively affecting subsequent milk yield. Cooling during the late dry period, when mammary tissue proliferates, is a common management practice. However, it neglects mammary gland involution during the early dry period, a process that is accomplished by both apoptosis and autophagy. Our objective was to evaluate the effect of heat stress on mammary gland (MG) autophagy during the early dry period. Holstein cows were dried off 45 d before expected calving and randomly assigned to 1 of 2 treatments: heat stress (HT) or cooling (CL). All cows were housed in the same barn during the dry period, but only the stall area for CL cows was equipped with soakers and fans. Rectal temperature (RT) was measured daily and respiration rate (RR) was counted thrice weekly during the dry period. MG biopsies were collected from each cow 3 d before dry-off (d −3) and on d 3, 7, 14, and 22 ± 2 after dry-off. Autophagy in MG was assessed by measuring protein expression of 2 autophagic markers Atg7 and LC3. The average THI during the dry period was 77.7, which indicated that HT and CL cows were exposed to significant heat stress. However, the cooling system effectively alleviated heat stress in CL cows by decreasing the RT (39.0 vs. 39.4°C) and RR (46.8 vs. 70.0 breaths/min) in CL relative to HT cows. Protein expression of Atg7, a marker for early autophagosome formation, did not change within or between groups. In contrast, protein expression of LC3-II, a marker of auto phagosomes, and its precursor LC3-I showed a dynamic expression pattern in MG from CL cows during the early dry period. Relative to HT cows, MG from CL cows displayed higher expression of LC3-I (P < 0.05) and LC3-II (P < 0.10) on d 7, and lower expression of LC3-II on d 14 (P < 0.05) and d 22 (P < 0.10). Our data suggest that cows undergoing chronic thermal stress throughout the entire dry period (1) lack the autophagic activity in the early dry period necessary for MG involution, and (2) lack a subsequent attenuation of autophagy, which may hinder MG proliferation in the late dry period.