Heat stress is becoming the major factor regarding dairy cow health and milk quality because of global warming. Circular RNAs (circRNAs) represent a special type of noncoding RNAs, which are related to regulating many biological processes. Nonetheless, little is known concerning their effects on heat-stressed bovine mammary epithelial cells (BMECs). Here, this study found a novel circRNA, circ_002033, using RNA sequencing (RNA-seq) and explored the role and underlying regulatory mechanism in proliferation, apoptosis, and oxidative damage in a heat-stressed bovine mammary epithelial cell line (MAC-T). According to the previous RNA-seq analysis, the abundance of circ_002033 in mammary gland tissue of heat-stressed cows increased relative to nonheat-stressed counterparts. This study found that the knockdown of circ_002033 promoted proliferation and alleviated apoptosis and oxidative damage in heat-stressed MAC-T. Mechanistically, circ_002033 localizes to miR-199a-5p in the cytoplasm of MAC-T to regulate mitogen-activated protein kinase kinase 11 (MAP3K11) expression. Meanwhile, miR-199a-5p and MAP3K11 are also involved in regulating the proliferation and apoptosis of heat-stressed MAC-T. Importantly, circ_002033 knockdown promoted the expression of miR-199a-5p while decreasing that of MAP3K11, thereby enhancing proliferation while alleviating apoptosis and oxidative damage in heat-stressed MAC-T. In summary, we found that circ_002033 regulates the proliferation, apoptosis, and oxidative damage of heat-stressed BMECs through the miR-199a-5p/MAP3K11 axis, providing the theoretical molecular foundation for mitigating heat stress of dairy cows.