Crossing of lines or strains within and between breeds has been demonstrated to be beneficial for dairy cattle performance. However, even within breed, differences between strains may also give rise to heterosis. A key question is whether an interaction exists between heterosis and environment (H × E) that is independent of genotype by environment (G × E) interactions. In this study, H × E and G × E interactions were estimated in a population of approximately 300,000 Danish Jersey cows. The cows were a mixture of pure Danish Jerseys and crosses of US and Danish Jerseys. The phenotype studied was protein yield. A reaction norm model where the unknown environmental covariates are inferred simultaneously with the other parameters in the model was used to analyze the data. When H × E, but not G × E, was included in the model, heterosis was estimated to be 3.8% for the intermediate environmental level. However, when both H × E and G × E were included in the model, heterosis was estimated to be 4.1% for the intermediate environmental level. Furthermore, when only H × E was included in the model, the regression on the unknown environmental covariate was estimated to be 0.15, interpreted as meaning that an increase of average herd-year protein yield by 1 kg of protein led to an increase in heterosis of 0.15 kg above the average heterosis for a first-cross cow. When both H × E and G × E were included in the model, the regression on the unknown environmental covariate was not significantly different from zero, meaning that heterosis was similar in all environments investigated. The genetic correlation of protein yields for different environmental levels ranged from 0.72 to 0.93, which was significantly different from unity, indicating that G × E exist for protein yield.