This study evaluated the effects of rumen-protected Schizochytrium powder on physiological responses, antioxidant capacity, and lactation performance in dairy cows subjected to heat stress (HS). A total of 30 Holstein dairy cows in mid-lactation (181 ± 32 DIM; 29.0 ± 3.1 kg milk yield) were divided into 2 blocks based on milk yield and were then randomly assigned to 1 of 3 groups (n = 10 cows per group): a control group (CON), an uncoated Schizochytrium powder (USP) group, and a coated Schizochytrium powder (CSP) group. The experiment comprised a 14-d adaptation, 21-d treatment, and 7-d washout period. Temperature-humidity index (THI) values ranged from 72.54 to 86.90 (average: 78.44), indicating conditions of mild to moderate HS. Under these conditions, no significant treatment × time interaction effects were observed for rectal temperature (RT) and respiratory rate (RR), but significant differences among treatments were detected. The CSP group exhibited significantly lower RR (50.71 breaths/min) and RT (38.91°C) compared with the CON group (RR: 61.58 breaths/min; RT: 39.19°C), and the USP group (RR: 62.70 breaths/min; RT: 39.30°C). A significant interaction between treatment and time was observed for milk fat concentration. Specifically, during wk 2, the milk fat concentration in the CSP group was lower compared with the CON and USP groups, whereas no differences were detected among the groups in wk 3. No significant treatment × time interaction was found for milk yield and feed efficiency; however, cows in the CSP group exhibited higher milk yield and feed efficiency than those in the CON and USP groups. The CSP group exhibited higher digestibility than the CON and USP groups, with DM increased by 3.9% to 4.5%, OM by 3.8% to 4.4%, CP by 5.2%, NDF by 18.2% to 25.8%, and ADF by 14.6% to 22.8%. Plasma levels of IgG, IgM, glutathione peroxidase (GSH-Px), and heat shock protein 70 (HSP70) exhibited significant treatment × time interactions. On d 14, plasma IgG and IgM levels were higher in the CSP and CON groups than in the USP group. By d 21, plasma IgG levels were highest in the CSP group, intermediate in the USP group, and lowest in the CON group. Plasma GSH-Px activity was increased and HSP70 decreased in CSP cows at both sampling points. No treatment × time interaction was observed for plasma superoxide dismutase (SOD) or catalase (CAT) activities. Nevertheless, SOD activity was significantly elevated in the CSP group compared with the CON group, and CAT activity was increased in both the CSP and USP groups relative to the CON group. Overall, supplementation with CSP resulted in reduced RR and RT and enhanced antioxidant status, and was associated with increased milk yield and nutrient digestibility in dairy cows experiencing HS.