Milk yield is reduced by pregnancy, and the present experiment was conducted to study the biological basis for the negative effect of pregnancy on milk yield. A total of 16 dairy cows were fed at either a normal or a low feeding level (eight cows per treatment), and half of them were inseminated after approximately 3 months of lactation and the other half were not inseminated. Mammary biopsies were taken at approximately 9 months of lactation. The milk yield of pregnant cows was reduced by 2.6 kg/day, and lactation persistency was reduced already from the time of insemination. Low feeding level reduced the milk yield by 9.8 kg/day from week 8 to week 39 of lactation, whereas no interaction between pregnancy and feeding level was found. Cell proliferation (Ki-67) and apoptosis (terminal deoxynucleotidyl transferase dUTP nick end labeling, TUNEL) were unaffected by feeding level, and pregnancy tended to reduce cell proliferation but had no effect on apoptosis. Reduced cell proliferation may explain the reduced lactation persistency in pregnant cows. Transcription of oestrogen receptor α, progesterone receptor A and B, and long and short isoforms of the prolactin receptor were higher in pregnant cows compared with non-pregnant cows. Feeding level did not mediate changes in transcription of genes. Transcription of other cell-turnover-related genes (IGF-I, IGF binding protein-5, caspase-3) as well as genes related to the secretory activity of the cells (α-lactalbumin and acetyl CoA carboxylase α) was not affected by pregnancy or by feeding level.