Direct measurement of dry matter intake (DMI) presents a major challenge in estimating gross feed efficiency (GFE) in dairy cattle. This challenge can, however, be resolved through the prediction of DMI and GFE from easy to measure traits such as milk production (i.e. milk yield, energy-corrected milk (ECM), butterfat, protein, lactose) and live weight (LW). The main objective of this study was, therefore, to investigate the feasibility of predicting dry matter intake and gross feed efficiency for first-parity Holstein cows using milk production traits and LW. Data comprised of 30 daily measurements of DMI and milk production traits, and 25 daily LW records of a group of 100 first-parity Holstein cows, fed a total mixed ration. Gross feed efficiency was calculated as kg ECM divided by kg DMI. The initial step was to estimate correlations of milk production traits and LW with DMI and GFE, to identify the best potential predictors of DMI and GFE. Subsequently, a forward stepwise regression analysis was used to develop models to predict DMI and GFE from LW and milk production traits, followed by within-herd validations. Means for DMI, butterfat yield (BFY) and LW were 21.91 ± 2.77 kg/day, 0.95±0.14 kg/day and 572±15.58 kg/day, respectively. Mean GFE was 1.32 ± 0.22. Dry matter intake had positive correlations with milk yield (MY) (r = 0.32, p < 0.001) and LW (r = 0.76, p < 0.0001) and an antagonistic association with butterfat percent (BFP) (r = -0.55, p < 0.001). On the other hand, GFE was positively associated with MY (r = 0.36, p < 0.001), BFP (r = 0.53, p < 0.001) and BFY (r = 0.83, p < 0.0001), and negatively correlated with LW (r = -0.23, p > 0.05). Dry matter intake was predicted reliably by a model comprising of only LW and MY [R2 = 0.79; root mean squared error (RMSE) = 1.05 kg/day]. A model that included BFY, MY and LW had the highest ability to predict GFE (R2 = 0.98; RMSE = 0.05). Live weight and BFY were the main predictor traits for DMI and GFE, respectively. The best models for predicting DMI and GFE were: DMI (kg/day) = -54.21 - 0.192 x MY (kg/day) + 0.146 x LW (kg/day) and GFE (kg/day) = 4.120 + 0.024 x MY (kg/day) + 1.000 x BFY (kg/day) - 0.008 x LW (kg/day). Thus, daily DMI (kg/day) and GFE can be reliably predicted from LW and milk production traits using these developed models in first-parity Holstein cows. This presents a big promise to generate large quantities of data of individual cow DMI and GFE, which can be used to implement genetic improvement of feed efficiency.