First-lactation test-day (TD) milk records of Luxembourg and Tunisian Holsteins were analysed for evidence of genotype by environment interaction (G x E). The joint data included 730 810 TD records of 87 734 cows and 231 common sires. Random regression TD sire models with fourth-order Legendre polynomials were used to estimate genetic parameters via within- and across-country analyses. Daily heritability estimates of milk yield from within-country analysis were between 0.11 and 0.32, and 0.03 and 0.13 in Luxembourg and Tunisia, respectively. Heritability estimates for 305-day milk yield and persistency (defined as the breeding value for milk yield on DIM 280 minus the breeding value on DIM 80) were lower for Tunisian Holsteins compared with the Luxembourg population. Specifically, heritability for 305-day milk yield was 0.16 for within- and 0.11 for across-country analyses for Tunisian Holsteins and 0.38 for within- and 0.40 for across-country analyses for Luxembourg Holsteins. Heritability for apparent persistency was 0.02 for both within- and across-country analyses for Tunisian Holsteins and 0.08 for within- and 0.09 for across-country analyses for Luxembourg Holsteins. Genetic correlations between the two countries were 0.50 for 305-day milk yield and 0.43 for apparent persistency. Moreover, rank correlations between the estimated breeding values of common sires for 305-day milk yield and persistency, estimated separately in each country, were low. Low genetic correlations are evidence for G x E for milk yield production while low rank correlations suggest different rankings of sires in both environments. Results from this study indicate that milk production of daughters of the same sires depends greatly on the production environment and that importing high merit semen for limited input systems might not be an effective strategy to improve milk production.