Genomic structural variation is an important and abundant source of genetic and phenotypic variation. In this study, we performed an initial analysis of copy number variations (CNVs) using BovineHD SNP genotyping data from 147 Holstein cows identified as having high or low feed efficiency as estimated by residual feed intake (RFI). We detected 443 candidate CNV regions (CNVRs) that represent 18.4Mb (0.6%) of the genome. To investigate the functional impacts of CNVs, we created two groups of 30 individual animals with extremely low or high estimated breeding values (EBVs) for RFI, and referred to these groups as low intake (LI; more efficient) or high intake (HI; less efficient), respectively. We identified 240 (~9.0Mb) and 274 (~10.2Mb) CNVRs from LI and HI groups, respectively. Approximately 30-40% of the CNVRs were specific to the LI group or HI group of animals. The 240 LI CNVRs overlapped with 137 Ensembl genes. Network analyses indicated that the LI-specific genes were predominantly enriched for those functioning in the inflammatory response and immunity. By contrast, the 274 HI CNVRs contained 177 Ensembl genes. Network analyses indicated that the HI-specific genes were particularly involved in the cell cycle, and organ and bone development. These results relate CNVs to two key variables, namely immune response and organ and bone development. The data indicate that greater feed efficiency relates more closely to immune response, whereas cattle with reduced feed efficiency may have a greater capacity for organ and bone development.