This study investigates the newborn thermoregulatory responses to cold and the performance of calves fed different colostrum volumes. Thirty newborn Holstein calves were blocked by birth body weight (BW; 39.4 ± 6.5 kg) and fed different high-quality colostrum volumes: 10%, 15%, or 20% of BW, which was split and fed at 2 and 8 h after birth. At 24 h of life, calves were placed in a chamber at 10 °C for 150 min. Skin and rectal temperature (RT), heart and respiratory rate, and shivering were measured every 15 min. Blood samples were taken every 30 min. After the cold challenge, calves were housed in ambient temperature (26.8 ± 5.9 °C), with free access to water and concentrate and received 6 L/d of milk replacer. Feed intake, fecal score, and RT were recorded daily, until 56 d of age. Blood samples, BW, and body measures were taken weekly. During the cold challenge, prescapular temperature and total serum protein were greater for calves fed 15% or 20%. Leukocytes increased preweaning, presenting higher values for calves fed 20%. Even though there was a benefit for the calf submitted to cold stress on the first day of life, feeding higher volumes of colostrum resulted in no differences in performance during the preweaning phase. Nevertheless, calves fed a higher volume of colostrum (20% BW) presented increased immune responses during the preweaning phase.