The collective economic and environmental interest of the whole dairy sheep sector is to reduce feed costs and the negative impact of milk production on the environment. Thus, this study focused on the characterisation and genetic selection potential of feed efficiency in the Lacaune breed. Estimates for feed efficiency in dairy ewes are limited, mainly due to a lack of individual feed intake measurements in the sheepfold or in the pasture. We estimated the genetic parameters for two approximated (not entirely based on individual data) feed efficiency traits (lactation feed conversion ratio (LFCR) and residual energy intake (REI)) and daily milk yield (DMY) at different stages of lactation and throughout lactation. The accuracy of the efficiency traits was first evaluated on samples from Lacaune dairy ewes that were mon- itored individually, especially for their feed intake. Then, feed efficiency estimation methods were applied on eight commercial farms corresponding to 4 680 Lacaune dairy ewes over two milk lactations (30 854 records). Animals were collectively (for a large part of feed intake) or individually (for milk performance and dynamics of body fat reserves) monitored at different lactation stages. The heritabilities of LFCR and REI were estimated over lactations at 0.10 ± 0.01 and 0.11 ± 0.01, respectively. High genetic correlations were observed between the two efficiency traits and milk production traits, with a genetic correlation between LFCR and DMY of 0.74 ± 0.04 and between REI and DMY of 0.79 ± 0.04. A strong influence of environmental factors such as farm, year of milk production and lactation stage affected the genetic link between REI and milk production traits. Efficiency values observed in early lactation when animals were bred in the sheepfold were less genetically correlated with values obtained later in lactation when animals were grass-fed. However, individual characterisation of feed efficiency remains difficult due to the collective feeding context in dairy ewe farms.