Reduced reproduction in domestic species has long been a problem in tropical and subtropical areas. How to improve thermal resistance of domestic species and their gametes/embryos is centrally important for efficient production in the animal industry. In response to environmental challenges, stressed cells or embryos have a universal heat shock response, which is tightly modulated at the transcriptional and translational levels in the cell. Some of these regulatory pathways may be shared by mammalian oocytes and embryos. When a deleterious in vitro heat shock is applied to a mature oocyte, its membrane characteristics, configuration of the chromatin, and meiotic spindle are altered. The developmental competence of the oocytes after fertilization or parthenogenetic activation is also compromised. When heat shock occurs during pregnancy, defective fetal development could happen. However, the teratogenic mechanism is not clear yet. Currently, more information is available on the physiological responses of the cells to heat stress or elevated temperature compared to those of mammalian oocytes and embryos. To better understand the mechanisms of thermal injuries or tolerance, more work on cellular and molecular changes in oocytes and embryos in response to heat shock is necessary. This knowledge would be helpful in resolving or developing strategies to mitigate the low fertility and high embryo mortality of domestic species in the hot seasons.