The economic importance of genetically improving feed efficiency has been recognized by cattle producers worldwide. It has the potential to considerably reduce costs, minimize environmental impact, optimize land and resource use efficiency, and improve the overall cattle industry’s profitability. Feed efficiency is a genetically complex trait that can be described as units of product output (e.g., milk yield) per unit of feed input. The main objective of this review paper is to present an overview of the main genetic and physiological mechanisms underlying feed utilization in ruminants and the process towards implementation of genomic selection for feed efficiency in dairy cattle. In summary, feed efficiency can be improved via numerous metabolic pathways and biological mechanisms through genetic selection. Various studies have indicated that feed efficiency is heritable, and genomic selection can be successfully implemented in dairy cattle with a large enough training population. In this context, some organizations have worked collaboratively to do research and develop training populations for successful implementation of joint international genomic evaluations. The integration of “-omics” technologies, further investments in high-throughput phenotyping, and identification of novel indicator traits will also be paramount in maximizing the rates of genetic progress for feed efficiency in dairy cattle worldwide.