Simple Summary: Interest in selection for milk yield and thermotolerance in cattle has grown, since heat stress has caused great losses in milk yield. However, few studies on how to carry out concurrent selection are available. Milk yield was analyzed by traditional methods, including heat stress indicators, in genetic evaluation. The results showed that the best sires for milk yield are not the best for heat tolerance, and only a small proportion of individuals have the aptitude for joint selection. Despite a small population fraction allowed for joint selection, sufficient genetic variability for selecting more resilient sires was found, which promoted concomitant genetic gains in milk yield and thermotolerance. © 2021 by the authors. Licensee MDPI, Basel, Switzerland.