The aim of this study was to determine possible relationships between farm climate conditions, recorded from day 0 to day 40 post-artificial insemination (AI), and late embryo/early fetal loss in high producing dairy cows. Pregnancy was diagnosed by rectal ultrasonography between 28 and 34 days post-AI. Fetal loss was registered when a further 80- to 86-day diagnosis proved negative. Climate variables such as air temperature and relative humidity (RH) were monitored in the cubicles area for each 30-min period. Temperature-humidity indices (THI); cumulative stressful values and episodes of acute change (defined as the mean daily value 1.2 times higher or lower than the mean daily values of the 10 previous days) of the climate variables were calculated. The data were derived from 759 cows in one herd. A total of 692 pregnancies (91.2%) carried singletons and 67 (8.8%) carried twins. No triplets were recorded. Pregnancy loss was recorded in 6.7% (51/759) of pregnancies: 5.6% (39/692) in single and 17.9% (12/67) in twin pregnancies. Using logistic regression procedures, a one-unit increase in the daily cumulative number of hours for the THI values higher than 85 during days 11-20 of gestation caused a 1.57-fold increase in the pregnancy loss, whereas the likelihood of fetal loss increased by a factor of 1.16 for each additional episode of acute variation for the maximum THI values during gestation days 0-40. THI values higher than 85 and episodes of acute variation for the maximum THI values were only recorded during the warm and cool periods, respectively. The presence of twins led to a 3.98-fold increase in pregnancy loss. In conclusion, our findings show that cumulative stressful and episodes of acute variation of climatic conditions can compromise the success of gestation during both the cool and warm periods of the year. Twin pregnancy was confirmed as a main factor associated with pregnancy loss.