The effect of weight gain during mid- and late gestation in dairy heifers on performance at the start of first lactation was studied. In this experiment, 47 Holstein heifers with first calving at 36 months of age were used. The plane of nutrition aimed to have a high (900 g/d, H; n = 23) and low (500, L; n = 24) average daily gain (ADG) from the 4th month of gestation until 3 weeks before the expected day of calving, achieved by ad libitum intake of high quality pasture (H) or controlled intake of a total mixed ration (L). Body weight (BW), body condition score (BCS), milking, and reproductive performances were recorded. Concentrations of plasma non-esterified fatty acids (NEFA), glucose, beta-hydroxybutyric acid (BHBA), and urea were characterised at weeks 2, 4, 6 and 8 of lactation. Milk fatty acid composition was determined at weeks 3 and 6. A total of 39 heifers successfully calved and completed first lactation. During feeding treatment the required ADG were achieved. BW and BCS were higher in H heifers at calving compared to L heifers: 707 vs. 640 kg, and 3.91 vs. 3.01 respectively. H heifers lost more weight, BCS and had lower feed intake during the beginning of first lactation (−0.8 kg DM/d/heifer over the first 4 weeks of lactation). Per day of lactation, H heifers produced significantly more milk (29.2 vs. 26.2 kg), fat (1.27 vs. 1.07 kg) and protein (0.84 vs. 0.477 kg) from 0 to 8 weeks of lactation. Concentrations of NEFA, glucose and BHBA were higher in H heifers compared to L heifers, but urea concentration was not affected. Concentration of preformed fatty acids in the milk (C16 and more) was higher. As a result, the calculated daily net energy balance during the first 8 weeks of lactation was −1.53 and −5.95 MJ for L and H heifers, respectively.