The objectives of this study were to investigate the association of body weight at first calving (BWFC) with first lactation milk production in Holstein heifers and examine the relationship between BWFC and the percent body weight change (WC) during the first month of lactation. We retrieved daily milk production records and daily body weight records from Afimilk. Edited data included records from 716 Pennsylvania State University and 1113 University of Florida Holstein heifers that calved from 2001 to 2016. BWFC was the mean body weight from 5 DIM to 10 DIM at first calving. Average BW from 30 to 40 DIM (BW35) was determined and WC % derived as 100 × (BW35 − BWFC)/BWFC. The 305d milk yield was analyzed with a generalized linear model that included significant (P < 0.05) effects of herd-year-season of calving, age at calving, and either BWFC (10 levels within farm-year), WC (10 levels within farm-year), or both BWFC and WC. WC % was analyzed with the same model to determine associations with BWFC. The average of 305d milk yield, BWFC, WL were 9497 kg, 538 kg, and −2.8%, respectively. Least-squares-means for 305d milk yield was lowest (9510kg) for the lowest BWFC group (group mean 459kg) and highest (10,219kg) for the second highest BWFC group (group mean 591kg), then numerically dropped to 10,160 kg for the highest BWFC group (group mean 628kg). Least-squares-means for 305d milk yield was highest (10,506kg) for the lowest WC group (group mean −9.76%) and lowest (9248kg) for the highest WC group (group mean 3.78%). When considered in the same model as WC, the effect of BWFC was not significant though higher BWFC was numerically associated with greater milk yield. The highest BWFC group was associated with the most WC (−3.75%), whereas the lowest group had the smallest WC (−0.90%). These results indicate that heavier heifers and those that lose the most weight within a given farm and year tend to produce more milk during the first lactation.