Heat stress, indexed by the Temperature–Humidity Index (THI), can alter milk composition; we aimed to quantify the association between daily THI and milk fat (%) and lactose (%) in Romanian Simmental and Romanian Brown cows using routine test-day records. We conducted a retrospective, repeated-measures study of 20,564 test-day observations from 1,123 cows (2014 to 2024), linking each control to same-day THI (observed range ≈28.5–78.7). Linear mixed-effects models with a random intercept for cow included a THI×month interaction and adjustments for breed, parity, and a smooth term for days-in-milk; effects are reported per +10 THI. Results showed season-dependent responses. For fat, higher THI was associated with decreases in mid-summer and late winter (e.g., January −0.12, February −1.09, July −0.21, August −0.75 per +10 THI), but with increases across much of spring and autumn (e.g., March +0.21, April +0.19, May +0.47, September +0.78, October +0.08, November +1.14, December +0.12). For lactose, associations were predominantly negative year-round, with small exceptions (e.g., March +0.03; April ~0): decreases were observed in January −0.047, February −0.171, May −0.111, June −0.135, July −0.064, August −0.097, September −0.121, October −0.050, November −0.048, and December −0.095 per +10 THI. A pooled comparison confirmed concurrent reductions in both fat and lactose during warm months (June–August), whereas outside summer, fat generally increased with THI while lactose remained mildly negative. In conclusion, rising THI is linked to a summer depression of milk fat and modest, broadly negative shifts in lactose; month-specific interactions highlight the importance of modeling seasonal context when evaluating milk-quality resilience in these breeds.