Results of studies in dairy cattle about the magnitude of the genotype-environment interaction (GEI) are variable, depending on the definitions of genotype and environment. Therefore, the objective of this study was to determine the magnitude of the interaction of genotype and feeding system (confinement and grazing) in the Mexican genetic evaluation of Jersey cattle for milk yield. The number of lactations and animals in the pedigree used were 5122 and 18 432. An animal model and the MTDFREML program were used to estimate genetic parameters and predict genetic values of the animals. Bivariate analysis was carried out considering the performance of confined and grazing cows as two different traits. Three indicator variables were used to assess GEI: (i) magnitude of the genetic correlation coefficients, (ii) correlation between predicted breeding values and (iii) frequency of coincidence in the ranking of top sires. The magnitude of GEI depended on the choice of the indicator variable. The estimate of genetic correlation coefficient less than unity (0.76; P < 0.05) suggested the presence of biologically important GEI. The differences in phenotypic averages and variances between confinement and grazing systems seem to be the main causes for the genotype by environment interaction detected. However, the correlation coefficient between breeding values from confined and grazing animals (0.96) and the frequency of coincidence between breeding values of common sires within the top 100 in confinement and grazing (0.86) indicated low-to-moderate re-ranking of animals or top sires. In addition, the high correlations between predicted breeding values of Mexican genetic evaluation and the two environments (0.99 and 0.93 for confinement and grazing) indicated that for the two feeding systems, breeding values from national analyses could be safely used.