We investigated the relationships between conception rates (CRs) at first service in Japanese Holstein heifers (i.e. animals that had not yet had their first calf) and cows and their test-day (TD) milk yields. Data included records of artificial insemination (AI) for heifers and cows that had calved for the first time between 2000 and 2008 and their TD milk yields at 6 through 305 days in milk (DIM) from first through third lactations. CR was defined as a binary trait for which first AI was a failure or success. A threshold-linear animal model was applied to estimate genetic correlations between CRs of heifers or cows and TD milk yield at various lactation stages. Two-trait genetic analyses were performed for every combination of CR and TD milk yield by using the Bayesian method with Gibbs sampling. The posterior means of the heritabilities of CR were 0.031 for heifers, 0.034 for first-lactation cows and 0.028 for second-lactation cows. Heritabilities for TD milk yield increased from 0.324 to 0.433 with increasing DIM but decreased slightly after 210 DIM during first lactation. These heritabilities from the second and third lactations were higher during late stages of lactation than during early stages. Posterior means of the genetic correlations between heifer CR and all TD yields were positive (range, 0.082 to 0.287), but those between CR of cows and milk yields during first or second lactation were negative (range, −0.121 to −0.250). Therefore, during every stage of lactation, selection in the direction of increasing milk yield may reduce CR in cows. The genetic relationships between CR and lactation curve shape were quite weak, because the genetic correlations between CR and TD milk yield were constant during the lactation period.