The objective of this experiment was to compare the whole-tract digestibility of dry matter (DM) and nitrogen (N) in Holstein-Friesian dairy cows selected for divergent feed conversion efficiency. The experiment used 16 primiparous Holstein–Friesian dairy cows selected based on their residual feed intake (RFI) measured as growing calves. The cows were housed in individual metabolism stalls and fed lucerne cubes ad libitum plus 6 kg DM per day of crushed wheat grain. Feed intake, milk yield, faecal and urine output were measured for 5 days. Rumen fluid was collected per os from each cow on one occasion. Milk production parameters and intakes of DM, organic matter, neutral detergent fibre, acid detergent fibre and N did not differ between RFI groups. Apparent whole-tract DM digestibility and N digestibility did not differ between RFI treatment groups. Rumen metabolites were also unaffected by RFI. In conclusion, divergence in RFI as calves was not associated with differences in whole-tract DM or N digestibility in lactating cows. Therefore, emphasis on selection for phenotypic divergence in RFI may not contribute to improved utilisation of consumed nutrients in Australian Holstein-Friesian dairy cows.