Horns are living tissue and cows can use their horns for thermoregulatory purposes. We investigated the effect of the presence of horns on the metabolome of milk serum and lipidome of milk fat, to assess the physiological effect of dehorning. Milk sampling took place at low ambient temperatures of −6 to 2°C. Horned and dehorned cows were kept in a mixed herd of Holstein Friesian and Brown Swiss cows. The hypothesis was that horned cows needed to increase their metabolism to compensate for additional heat loss through the presence of their horns. No differences were observed in milk yield, milk solids, and somatic cell counts between horned and dehorned cows. For the milk metabolome, horned cows showed an upregulation of several glucogenic AA that could be transformed into glucose for energy supply and a downregulation of sugar intermediates and γ-glutamylcysteine compared with dehorned cows. The fatty acid (FA) composition in horned cows showed a shift toward decreased odd medium-chain FA (C7:0, C9:0, and C11:0) and increased cis-vaccenic acid (C18:1n-7 cis-11) and stearidonic acid (C18:4n-3). The changes in milk composition related to additional heat loss in horned cows indicate a competition in C3 metabolism for glucose synthesis and de novo FA synthesis under cold stress.