Genomic selection has been increasingly implemented in the animal breeding industry, and it is becoming a routine method in many livestock breeding contexts. However, its use is still limited in several small-population local breeds, which are, nonetheless, an important source of genetic variability of great economic value. A major roadblock for their genomic selection is accuracy when population size is limited: to improve breeding value accuracy, variable selection models that assume heterogenous variance have been proposed over the last few years. However, while these models might outperform traditional and genomic predictions in terms of accuracy, they also carry a proportional increase of breeding value bias and dispersion. These mutual increases are especially striking when genomic selection is performed with a low number of phenotypes and high shrinkage value—which is precisely the situation that happens with small local breeds. In our study, we tested several alternative methods to improve the accuracy of genomic selection in a small population. First, we investigated the impact of using only a subset of informative markers regarding prediction accuracy, bias, and dispersion. We used different algorithms to select them, such as recursive feature eliminations, penalized regression, and XGBoost. We compared our results with the predictions of pedigree-based BLUP, single-step genomic BLUP, and weighted single-step genomic BLUP in different simulated populations obtained by combining various parameters in terms of number of QTLs and effective population size. We also investigated these approaches on a real data set belonging to the small local Rendena breed. Our results show that the accuracy of GBLUP in small-sized populations increased when performed with SNPs selected via variable selection methods both in simulated and real data sets. In addition, the use of variable selection models—especially those using XGBoost—in our real data set did not impact bias and the dispersion of estimated breeding values. We have discussed possible explanations for our results and how our study can help estimate breeding values for future genomic selection in small breeds.