Background. Improving feed efficiency has become a common target for dairy farmers to meet the requirement of producing more milk with fewer resources. To improve feed efficiency, a prerequisite is to ensure that the cows identified as most or least efficient will remain as such, independently of diet composition. Therefore, the current research analysed the ability of lactating dairy cows to maintain their feed efficiency while changing the energy density of the diet by changing its concentration in starch and fibre. A total of 60 lactating Holstein cows, including 33 primiparous cows, were first fed a high starch diet (diet E+P+), then switched over to a low starch diet (diet E−P−). Near infra-red (NIR) spectroscopy was performed on each individual feed ingredient, diet and individual refusals to check for sorting behaviour. A principal component analysis (PCA) was performed to analyse if the variability in NIR spectra of the refusals was explained by the differences in feed efficiency. Results. The error of reproducibility of feed efficiency across diets was 2.95 MJ/d. This error was significantly larger than the errors of repeatability estimated within diet over two subsequent lactation stages, which were 2.01 MJ/d within diet E−P− and 2.40 MJ/d within diet E+P+. The coefficient of correlation of concordance (CCC) was 0.64 between feed efficiency estimated within diet E+P+ and feed efficiency estimated within diet E−P−. This CCC was smaller than the one observed for feed efficiency estimated within diet between two subsequent lactation stages (CCC = 0.72 within diet E+P+ and 0.85 within diet E−P−). The first two principal components of the PCA explained 90% of the total variability of the NIR spectra of the individual refusals. Feed efficiency was poorly correlated to those principal components, which suggests that feed sorting behaviour did not explain differences in feed efficiency. Conclusions. Feed efficiency was significantly less reproducible across diets than repeatable within the same diet over subsequent lactation stages, but cow’s ranking for feed efficiency was not significantly affected by diet change. The differences in sorting behaviour between cows were not associated to feed efficiency differences in this trial neither with the E+P+ diet nor with the E−P− diet. Those results have to be confirmed with cows fed with more extreme diets (for example roughage only) to ensure that the least and most efficient cows will not change.