In our previous study, we found that changes in plasma prolactin (PRL) concentration were significantly associated with heat stress in dairy cows, and that PRL plays an important role in milk performance. Microarray sequencing revealed that thyrotropin releasing hormone (TRH) and prolactin receptor (PRLR), two genes important for PRL expression or function, may affect milk performance, reproduction, and heat stress response in dairy cattle. In this study, we further validated the genetic effects of the three genes in Chinese Holsteins. The potential variants within the three genes were first detected in 70 Chinese Holstein bulls and then screened in 1152 Chinese Holstein cows using the KASP (Kompetitive allele-specific PCR) method. In total, 42 variants were identified. Further, 13 SNPs were retained for KASP genotyping, including 8 in TRH, 3 in PRL, and 2 in PRLR. Using SNP-based association analyses, the multiple significant (p < 0.05) associations of these 13 SNPs with milk performance, reproduction, and heat stress response traits were found in the Holstein population. Furthermore, linkage disequilibrium analysis found a haplotype block in each of the TRH and PRL genes. Haplotype-based association analyses showed that haplotype blocks were also significantly (p < 0.05) associated with milk performance, reproduction, and heat stress response traits. Collectively, our results identified the genetic associations of TRH, PRL, and PRLR with milk performance, reproduction, and heat stress response traits in dairy cows, and found the important roles of SNP g.55888602A/C and g.55885455A/G in TRH in all traits, providing important molecular markers for genetic selection of high-yielding dairy cows.