The frequent occurrence of heat and drought stress can severely reduce agricultural production of field crops. In comparison to a single stress, the combination of both heat (H) and drought (D) further reduce plant growth, survival and yield. This study aimed to explore the transcriptional responses of heat shock protein (HSP) and antioxidant genes under H combined D stress in perennial rye grass (PRG). The results demonstrated that oxidative stress indicators (hydrogen peroxide, lipid peroxidation) significantly increased, particularly in the case of combined H and D treatment, suggesting that oxidative stress-induced damage occurred in plants under the combined stresses. Transcriptional responses of heat shock protein 70 (HSP70), heat shock protein 90-6 (HSP90-6), and the mitochondrial small heat shock protein HSP26.2 (HSP26.2) occurred rapidly, and showed high level of expression particularly under H and D stress. Antioxidant genes including ascorbate peroxidase (APX), glutathione reductase (GR), monodehydroascorbate reductase (MDHAR), dehydroascorbate reductase (DHAR), catalase (CAT), copper–zinc superoxide dismutase (Cu/ZnSOD), peroxidase (POD), ferredoxin–thioredoxin (FTR), thioredoxin (Trx), 2-cysteine peroxiredoxin (2-Cys Prx) showed response to combined H and D, followed by either D or H stress alone in rye grass. An interactome map revealed the close partnership of these heat shock protein genes and antioxidant genes, respectively. These candidate genes were predominantly linked to stress responses and antioxidant defense in plants. These findings may advance our understanding about the HSP and the antioxidant genes underlying combined abiotic stress response and tolerance in perennial rye grass.