Feed efficiency measures, gross energy (solids-corrected milk/estimated energy intake) and nitrogen (milk nitrogen/nitrogen intake) utilization, and apparent digestibilities of ration dry matter, nitrogen, acid detergent fiber, and starch were calculated for 134 samples of 75 daughters of 31 Holstein sires. Cows were in 5- to 9-day nitrogen balance trials in first and second trimesters of lactation and were fed for ad libitum consumption corn silage-based complete rations formulated to meet average nutrient requirements. The objective was to test the hypothesis that feed efficiency diminishes as milk increases from selection. The sample of cows closely approximated the distribution of genetic ability for milk of the Holstein breed. Nonsiblings of same parity (one, two, three or more), calving within 2 wk of each other and differing by at least 140 kg estimated transmitting ability, were paired in nitrogen balance trials. Evidence for diminishing returns to increased transmitting ability for milk was nil for any measure of feed efficiency. Energy efficiency showed linear increases when regressed on cow transmitting ability for fat-corrected milk, but other measures of dietary utilization were unrelated to milk yield.