Milk yield is the most complex trait in dairy animals, and mapping all causal variants even with smallest effect sizes has been difficult with the genome-wide association study (GWAS) sample sizes available in geographical regions with small livestock holdings such as Indian sub-continent. However, Transcriptome-wide association studies (TWAS) could serve as an alternate for fine mapping of expression quantitative trait loci (eQTLs). This is a maiden attempt to identify milk production and its composition related genes using TWAS in Murrah buffaloes (Bubalus bubalis). TWAS was conducted on a test (N = 136) set of Murrah buffaloes genotyped through ddRAD sequencing. Their gene expression level was predicted using reference (N = 8) animals having both genotype and mammary epithelial cell (MEC) transcriptome information. Gene expression prediction was performed using Elastic-Net and Dirichlet Process Regression (DPR) model with fivefold cross-validation and without any cross-validation. DPR model without cross-validation predicted 80.92% of the total genes in the test group of Murrah buffaloes which was highest compared to other methods. TWAS in test individuals based on predicted gene expression, identified a significant association of one unique gene for Fat%, and two for SNF% at Bonferroni corrected threshold. The false discovery rates (FDR) corrected P-values of the top ten SNPs identified through GWAS were comparatively higher than TWAS. Gene ontology of TWAS-identified genes was performed to understand the function of these genes, it was revealed that milk production and composition genes were mainly involved in Relaxin, AMPK, and JAK-STAT signaling pathway, along with CCRI, and several key metabolic processes. The present study indicates that TWAS offers a lower false discovery rate and higher significant hits than GWAS for milk production and its composition traits. Hence, it is concluded that TWAS can be effectively used to identify genes and cis-SNPs in a population, which can be used for fabricating a low-density genomic chip for predicting milk production in Murrah buffaloes.