Genomic prediction is applicable to individuals of different breeds. Empirical results to date, however, show limited benefits in using information on multiple breeds in the context of genomic prediction. We investigated a multitask Bayesian model, presented previously by others, implemented in a Bayesian stochastic search variable selection (BSSVS) model. This model allowed for evidence of quantitative trait loci (QTL) to be accumulated across breeds or for both QTL that segregate across breeds and breed-specific QTL. In both cases, single nucleotide polymorphism effects were estimated with information from a single breed. Other models considered were a single-trait and multitrait genomic residual maximum likelihood (GREML) model, with breeds considered as different traits, and a single-trait BSSVS model. All single-trait models were applied to each of the 2 breeds separately and to the pooled data of both breeds. The data used included a training data set of 6,278 Holstein and 722 Jersey bulls, as well as 374 Jersey validation bulls. All animals had genotypes for 474,773 single nucleotide polymorphisms after editing and phenotypes for milk, fat, and protein yields. Using the same training data, BSSVS consistently outperformed GREML. The multitask BSSVS, however, did not outperform single-trait BSSVS, which used pooled Holstein and Jersey data for training. Thus, the rigorous assumption that the traits are the same in both breeds yielded a slightly better prediction than a model that had to estimate the correlation between the breeds from the data. Adding the Holstein data significantly increased the accuracy of the single-trait GREML and BSSVS in predicting the Jerseys for milk and protein, in line with estimated correlations between the breeds of 0.66 and 0.47 for milk and protein yields, whereas only the BSSVS model significantly improved the accuracy for fat yield with an estimated correlation between breeds of only 0.05. The relatively high genetic correlations for milk and protein yields, and the superiority of the pooling strategy, is likely the result of the observed admixture between both breeds in our data. The Bayesian model was able to detect several QTL in Holsteins, which likely enabled it to outperform GREML. The inability of the multitask Bayesian models to outperform a simple pooling strategy may be explained by the fact that the pooling strategy assumes equal effects in both breeds; furthermore, this assumption may be valid for moderate- to large-sized QTL, which are important for multibreed genomic prediction.