Improving feed efficiency (FE) is a major goal for the livestock industry. Previously, we have identified 48 SNP markers distributed over 32 genes significantly associated with residual feed intake (RFI) in Israeli Holstein male calves, the most significant of which are located in the bovine FABP4 gene. In the present study, we tested associations of eight of the FABP4 markers with RFI and feed conversion ratio (FCR), along with milk composition and feeding behavioral traits, in 114 lactating Israeli Holstein cows. Large allele effects were found, along with large contributions of FABP4 markers to the phenotypic variation [mean contribution of all significant markers ( P < 0.05), 15.4 and 12.0% for RFI and FCR, respectively] and genotypic variation [means of all significant markers ( P < 0.05), 75.7 and 32.4% in RFI and FCR, respectively]. However, the association of all significant FABP4 markers with FE and milk content traits was found in opposite directions, such that improved FE was accompanied by decreased milk content. Hence, before inclusion in breeding programs, the gain in FE must be economically balanced with the loss in milk contents. On the other hand, these findings imply that in any current improvement program concentrated on milk traits alone, without taking into account the effect on FE, the progress in milk composition is probably accompanied by deterioration of FE. These results, if confirmed in other populations and breeds, set FABP4 as a prime candidate in any marker-assisted selection program targeting FE as a whole and RFI in particular.