Connecting genome-wide association study (GWAS) to biological mechanisms underlying complex traits is a major challenge. Mastitis resistance and milk production are complex traits of economic importance in the dairy sector and are associated with intra-mammary infection (IMI). Here, we integrated IMI-relevant RNA-Seq data from Holstein cattle and sequence-based GWAS data from three dairy cattle breeds (i.e., Holstein, Nordic red cattle, and Jersey) to explore the genetic basis of mastitis resistance and milk production using post-GWAS analyses and a genomic feature linear mixed model. At 24 h post-IMI, genes responsive to IMI in the mammary gland were preferentially enriched for genetic variants associated with mastitis resistance rather than milk production. Response genes in the liver were mainly enriched for variants associated with mastitis resistance at an early time point (3 h) post-IMI, whereas responsive genes at later stages were enriched for associated variants with milk production. The up- and down-regulated genes were enriched for associated variants with mastitis resistance and milk production, respectively. The patterns were consistent across breeds, indicating that different breeds shared similarities in the genetic basis of these traits. Our approaches provide a framework for integrating multiple layers of data to understand the genetic architecture underlying complex traits.