Genome-wide association studies for difficult-to-measure traits are generally limited by the sample size with accurate phenotypic data. The objective of this study was to utilise data on primiparous Holstein–Friesian cows from experimental farms in Ireland, the United Kingdom, the Netherlands and Sweden to identify genomic regions associated with the feed utilisation complex: fat and protein corrected milk yield (FPCM), dry matter intake (DMI), body condition score (BCS) and live-weight (LW). Phenotypic data and 37 590 single nucleotide polymorphisms (SNPs) were available on up to 1629 animals. Genetic parameters of the traits were estimated using a linear animal model with pedigree information, and univariate genome-wide association analyses were undertaken using Bayesian stochastic search variable selection performed using Gibbs sampling. The variation in the phenotypes explained by the SNPs on each chromosome was related to the size of the chromosome and was relatively consistent for each trait with the possible exceptions of BTA4 for BCS, BTA7, BTA13, BTA14, BTA18 for LW and BTA27 for DMI. For LW, BCS, DMI and FPCM, 266, 178, 206 and 254 SNPs had a Bayes factor >3, respectively. Olfactory genes and genes involved in the sensory smell process were overrepresented in a 500 kbp window around the significant SNPs. Potential candidate genes were involved with functions linked to insulin, epidermal growth factor and tryptophan.