Feed efficiency and energy balance are important traits underpinning profitability and environmental sustainability in animal production. They are complex traits, and our understanding of their underlying biology is currently limited. One measure of feed efficiency is residual feed intake (RFI), which is the difference between actual and predicted intake. Variation in RFI among individuals is attributable to the metabolic efficiency of energy utilization. High RFI (H_RFI) animals require more energy per unit of weight gain or milk produced compared with low RFI (L_RFI) animals. Energy balance (EB) is a closely related trait calculated very similarly to RFI. Cellular energy metabolism in mitochondria involves mitochondrial protein (MiP) encoded by both nuclear (NuMiP) and mitochondrial (MtMiP) genomes. We hypothesized that MiP genes are differentially expressed (DE) between H_RFI and L_RFI animal groups and similarly between negative and positive EB groups. Our study aimed to characterize MiP gene expression in white blood cells of H_RFI and L_RFI cows using RNA sequencing to identify genes and biological pathways associated with feed efficiency in dairy cattle. We used the top and bottom 14 cows ranked for RFI and EB out of 109 animals as H_RFI and L_RFI, and positive and negative EB groups, respectively. The gene expression counts across all nuclear and mitochondrial genes for animals in each group were used for differential gene expression analyses, weighted gene correlation network analysis, functional enrichment, and identification of hub genes. Out of 244 DE genes between RFI groups, 38 were MiP genes. The DE genes were enriched for the oxidative phosphorylation (OXPHOS) and ribosome pathways. The DE MiP genes were underexpressed in L_RFI (and negative EB) compared with the H_RFI (and positive EB) groups, suggestive of reduced mitochondrial activity in the L_RFI group. None of the MtMiP genes were among the DE MiP genes between the groups, which suggests a non-rate limiting role of MtMiP genes in feed efficiency and warrants further investigation. The role of MiP, particularly the NuMiP and OXPHOS pathways in RFI, was also supported by our gene correlation network analysis and the hub gene identification. We validated the findings in an independent data set. Overall, our study suggested that differences in feed efficiency in dairy cows may be linked to differences in cellular energy demand. This study broadens our knowledge of the biology of feed efficiency in dairy cattle.