Thermal stress (heat and cold) has large economic and welfare implications for the worldwide dairy industry. Therefore, it is paramount to understand the genetic background of coping mechanism related to thermal stress for the implementation of effective genetic selection schemes in dairy cattle. We performed an association study between 11 single nucleotide polymorphisms having minor allelic frequency (MAF > 0.05) in the HSP70 gene with blood biochemical parameters. The concentrations of growth hormone (GH), lactate (LA), prolactin (PRL), and superoxide dismutase (SOD) in blood were significantly higher (p < 0.05), while the concentrations of blood urea nitrogen (BUN), c-reactive protein (CRP), potassium (K+), lactate dehydrogenase (LDH), lipid peroxide (LPO), and norepinephrine (NE) were significantly lower (p < 0.05) in heat-stressed animals as compared to the control group. A significant (p < 0.05) increase in the concentrations of cortisol (COR), corticosterone (CORT), and potassium (K+) was observed (p < 0.05), while the concentrations of adrenocorticotrophic hormone (ACTH), dopamine (DA), GH, LDH, NE, PRL, and SOD were significantly lower in cold-stressed animals as compared to the control group (p < 0.05). Furthermore, SNP A-12G and C181T were significantly associated with LA (p < 0.05), while A72G was linked with LPO (p < 0.05) in heat-stressed animals. Moreover, the SNPs A-12G and SNP C131G were significantly associated (p < 0.05) with DA and SOD under cold stress condition, respectively. These SNPs markers significantly associated with fluctuations in blood biochemical parameters under thermal stress provide a better insight into the genetic mechanisms underlying climatic resilience in Holstein cattle.