The present study investigated the long-term consistency of individual differences in dairy cattles’ responses in tests of behavioural and hypothalamo–pituitary–adrenocortical (HPA) axis reactivity, as well as the relationship between responsiveness in behavioural tests and the reaction to first milking. Two cohorts of heifer calves, Cohorts 1 (N = 25) and 2 (N = 16), respectively, were examined longitudinally from the rearing period until adulthood. Cohort 1 heifers were subjected to open field (OF), novel object (NO), restraint, and response to a human tests at 7 months of age, and were again observed in an OF test during first pregnancy between 22 and 24 months of age. Subsequently, inhibition of milk ejection and stepping and kicking behaviours were recorded in Cohort 1 heifers during their first machine milking. Cohort 2 heifers were individually subjected to OF and NO tests as well as two HPA axis reactivity tests (determining ACTH and/or cortisol response profiles after administration of exogenous CRH and ACTH, respectively) at 6 months of age and during first lactation at approximately 29 months of age. Principal component analysis (PCA) was used to condense correlated response measures (to behavioural tests and to milking) within ages into independent dimensions underlying heifers’ reactivity. Heifers demonstrated consistent individual differences in locomotion and vocalisation during an OF test from rearing to first pregnancy (Cohort 1) or first lactation (Cohort 2). Individual differences in struggling in a restraint test at 7 months of age reliably predicted those in OF locomotion during first pregnancy in Cohort 1 heifers. Cohort 2 animals with high cortisol responses to OF and NO tests and high avoidance of the novel object at 6 months of age also exhibited enhanced cortisol responses to OF and NO tests at 29 months of age. Measures of HPA axis reactivity, locomotion, vocalisation and adrenocortical and behavioural responses to novelty were largely uncorrelated, supporting the idea that stress responsiveness in dairy cows is mediated by multiple independent underlying traits. Inhibition of milk ejection and stepping and kicking behaviours during first machine milking were not related to earlier struggling during restraint, locomotor responses to OF and NO tests, or the behavioural interaction with a novel object. Heifers with high rates of OF and NO vocalisation and short latencies to first contact with the human at 7 months of age exhibited better milk ejection during first machine milking. This suggests that low underlying sociality might be implicated in the inhibition of milk ejection at the beginning of lactation in heifers.