Pedigree information and test-day records for the first 3 parities of Milking Shorthorn dairy cattle from 5 countries were analyzed. After editing, the data included 1,018,528 test-day records from 68,653 cows. A multiple-lactation random regression test-day model with Legendre polynomials of order 4 and a Bayesian method were used to estimate variance components for both single and multiple-countries. Fixed effects included herd-test-day class and regressions on DIM within age at calving-parity-season of calving. Random effects included animal genetic, permanent environmental, and residual effects. Average daily heritabilities from single country analyses ranged from 0.33 to 0.47 for milk yield and from 0.37 to 0.45 for protein yield across lactations and countries. Common sires (66) and their daughters were identified for creating a connected data set for simultaneous (co)variance component estimation of milk yield across all 5 countries. Between-country genetic correlations were low, with values from 0.08 to 0.46 and standard deviations from 0.08 to 0.12. Estimated breeding values for milk were generated for each animal using the same test-day animal model. Correlations among country estimated breeding values were higher than genetic correlations. Top 100 bull lists were generated on the scale of each country, and genetic progress was assessed. Future evaluation with increased genetic ties among countries may facilitate international comparison of Milking Shorthorns.