Animal-level responses to weather variability in US dairy systems are well described, but the potential of housing and other farm management practices (for example, fans and sprinklers) to moderate the impacts of weather remains uncertain. Here we assess the influence of historical variation in the temperature–humidity index (THI) on milk yields using monthly state-level yield data and high-resolution daily weather data over 1981–2018. We find that milk yields are compromised by exposure to both extreme heat (>79 THI) and cold (<39 THI), causing average daily yield decreases of around 3.7% and 6.1%, respectively, relative to optimal conditions (65–69 THI). Colder regions are more sensitive to heat extremes, and warm regions are more sensitive to cold extremes. Sensitivity to THI has reduced dramatically over time. Climate trends contributed modestly (around 0.1% over 38 years) to rising yields in most states via alleviating cold stress, although more extreme future conditions may negate these benefits.