Heat stress in dairy cows can cause an increase in body temperature and respiration rate, and a decreased feed intake leading to reduced production. Dairy cows are better at handling heat when they have access to shade. Therefore, this study aimed to determine the effects of providing shade to high-yielding dairy cattle during the summer in the Swedish climate. Twenty high-yielding Swedish Red dairy cows, held on pasture, were divided into two groups, one with access to shade (S) and one without (NS). Milk production was recorded daily and shade temperature and relative humidity were recorded at 10 min intervals at pasture. A major effect of heat stress was found in cows in early lactation in the NS group. In this group, a high mean temperature two days before and a high THI two days before affected the milk production negatively (p < 0.001), which was the same for the maximum temperature and maximum THI measured on the same day (p < 0.001). Increases in the mean temperature and THI two days before also affected milk production negatively (p < 0.05) for cows in early lactation in the S group, though to a lesser extent. This study suggests that dairy cows in early lactation benefit from access to shade during summer.