The current cattle selection program for dairy cattle in the Walloon region of Belgium does not consider the relative content of the different fatty acids (FA) in milk. However, interest by the local dairy industry in differentiated milk products is increasing. Therefore, farmers may be interested in selecting their animals based on the fat composition. The aim of this study was to evaluate the feasibility of genetic selection to improve the nutritional quality of bovine milk fat. The heritabilities and correlations among milk yield, fat, protein, and major FA contents in milk were estimated. Heritabilities for FA in milk and fat ranged from 5 to 38%. The genetic correlations estimated among FA reflected the common origin of several groups of FA. Given these results, an index including FA contents with the similar metabolic process of production in the mammary gland could be used, for example, to increase the monounsaturated and conjugated fatty acids in milk. Moreover, the genetic correlations between the percentage of fat and the content of C14:0, C12:0, C16:0, and C18:0 in fat were -0.06, 0.55, 0.60, and 0.84, respectively. This result demonstrates that an increase in fat content is not directly correlated with undesirable changes in FA profile in milk for human health. Based on the obtained genetic parameters, a future selection program to improve the FA composition of milk fat could be initiated.