Blood oxygen is an essential component for numerous biological processes of mammalian animals. Milk production of ruminants largely relies on the supply of nutrients, such as glucose, amino acids and fatty acids. To define the regulatory role of blood oxygen availability in regard to milk production, seventy-five healthy Guanzhong dairy goats with similar body weight, days in milk and parities were selected. For each animal, milk yield was recorded and milk sample was collected to determine compositions. Milk vein blood was collected to determine parameters including blood gas, physio-biochemistry and haematology. Another blood sample was prepared for transcriptome and RT-qPCR. Results showed that both pressure of oxygen (pO2) in the milk vein (positively) and numbers of neutrophils in mammary vein (negatively) were associated with milk yield of the animals. To learn the role of pO2 in blood cell functionality, twelve animals (six with higher yield (H-group) and six with lower yield (L-group)) from seventy-five goats were selected. Compared with animals in L-group, goats in H-group were higher in pO2 but lower in pCO2, lactate, lactate dehydrogenase activity and neutrophil abundance in milk vein, compared with L-group. The blood transcriptome analysis suggested that compared with L-group, animals in H-group were depressed in functionality including neutrophil activation and metabolic pathways including glycolysis, NF-κB and HIF-1. Our result revealed that lower milk production could be associated with neutrophil activation responding to low pO2 in the mammary vein. In the meantime, we highlighted the potential importance of blood oxygen as a milk yield regulator.