Dairy cattle systems have targeted improvements in feed efficiency by selecting animals that can convert less feed into more products. Residual feed intake (RFI) has been the index of choice when selecting dairy cattle for feed efficiency. Nonetheless, RFI studies have focused on lactating cows, and the crucial importance of pre-weaning efficiency on farm profitability and cow productivity has been mostly neglected. This review discusses the current knowledge of how RFI divergence relates to nutrient metabolism in pre-weaning dairy calves, including the advantages and limitations of evaluating RFI in this phase. Existing literature indicates that nutrient utilization, energy metabolism, protein metabolism, vitamin metabolism, intestinal development, and hindgut bacterial populations may be implicated in RFI divergence between pre-weaning calves. Techniques developed to date to evaluate RFI in this phase are still evolving to better adapt to the unique characteristics of this phase, and more research is needed to fill in the gaps in our current understanding of early-life feed efficiency divergence in cattle. However, current results suggest great potential for selecting high-efficiency calves while in pre-weaning to accelerate the progress of genetic selection in dairy cattle.