The objectives of the present study were to identify key genes and biological pathways associated with thermal stress in Chinese Holstein dairy cattle. Hence, we constructed a cell-model, applied various molecular biology experimental techniques and bioinformatics analysis. A total of 55 candidate genes were screened from published literature and the IPA database to examine its regulation under cold (25°C) or heat (42°C) stress in PBMCs. We identified 29 (3 up-regulated and 26 down-regulated) and 41 (15 up-regulated and 26 down-regulated) significantly differentially expressed genes (DEGs) (fold change ≥ 1.2-fold and P < 0.05) after cold and heat stress treatments, respectively. Furthermore, bioinformatics analyses confirmed that major biological processes and pathways associated with thermal stress include protein folding and refolding, protein phosphorylation, transcription factor binding, immune effector process, negative regulation of cell proliferation, autophagy, apoptosis, protein processing in endoplasmic reticulum, estrogen signaling pathway, pathways related to cancer, PI3K- Akt signaling pathway, and MAPK signaling pathway. Based on validation at the cellular and individual levels, the mRNA expression of the HIF1A gene showed upregulation during cold stress and the EIF2A, HSPA1A, HSP90AA1, and HSF1 genes showed downregulation after heat exposure. The RT-qPCR and western blot results revealed that the HIF1A after cold stress and the EIF2A, HSPA1A, HSP90AA1, and HSF1 after heat stress had consistent trend changes at the cellular transcription and translation levels, suggesting as key genes associated with thermal stress response in Holstein dairy cattle. The cellular model established in this study with PBMCs provides a suitable platform to improve our understanding of thermal stress in dairy cattle. Moreover, this study provides an opportunity to develop simultaneously both high-yielding and thermotolerant Chinese Holstein cattle through marker-assisted selection.