Heat stress has adverse effects on the reproductive performance of dairy cows. Even with heat abatement systems, conception rates are negatively affected during heat conditions. Genetic selection is an attractive alternative for reducing the effects of heat stress on dairy cattle fertility. The first goal of this study was to estimate genetic components of conception rate across lactations considering heat stress. The second goal was to identify genomic regions, individual genes, and pathways responsible for thermotolerance. Data included 74,221 pregnancy records on 13,704 Holstein cows. Multi-trait repeatability test-day models with random regressions on THI values were used to estimate variance components. The models included herd-test-day and DIM classes as fixed effects, and generic and heat tolerance additive direct genetic and permanent environmental as random effects. Genetic variance for heat tolerance increased by 80% from first to second parity and 66% from second to third parity, suggesting that cows become more sensitive to heat stress as they age. Heritability estimates for conception rate at THI 78 were between 0.02 and 0.03, whereas genetic correlations between general merit and thermotolerance were always negative, ranging from −0.35 (0.21) to −0.82 (0.08). Whole-genome scans were performed using ssGBLUP. One region on BTA23 that harbors PADI6 and HCRTR2 was found to be strongly associated with general merit across all parities. Gene PADI6 influences oocyte competence whereas HCRTR2 is implicated in maternal recognition of pregnancy and implantation. Genomic regions on BTA10 and BTA11 were found to be strongly associated with thermotolerance; these genomic regions harbor RGS6 and PRKCE, genes implicated in intracellular protein trafficking and heat shock response. Gene-set analysis revealed several functional categories, such as protein refolding, lipid modification, and gap junction, that are involved in biological processes and functions closely related to conception and pregnancy maintenance. Overall, this study contributes to a better understanding of the genetics underlying heat stress and points out novel opportunities for improving thermotolerance in dairy cattle.