The objective of this study was to perform a whole genome scan to detect quantitative trait loci (QTL) for milk protein composition in 849 Holstein–Friesian cows originating from seven sires. One morning milk sample was analysed for the major milk proteins using capillary zone electrophoresis. A genetic map was constructed with 1341 single nucleotide polymorphisms, covering 2829 centimorgans (cM) and 95% of the cattle genome. The chromosomal regions most significantly related to milk protein composition (Pgenome < 0.05) were found on Bos taurus autosomes (BTA) 6, 11 and 14. The QTL on BTA6 was found at about 80 cM, and affected αS1-casein, αS2-casein, β-casein and κ-casein. The QTL on BTA11 was found at 124 cM, and affected β-lactoglobulin, and the QTL on BTA14 was found at 0 cM, and affected protein percentage. The proportion of phenotypic variance explained by the QTL was 3.6% for β-casein and 7.9% for κ-casein on BTA6, 28.3% for β-lactoglobulin on BTA11, and 8.6% for protein percentage on BTA14. The QTL affecting αS2-casein on BTA6 and 17 showed a significant interaction. We investigated the extent to which the detected QTL affecting milk protein composition could be explained by known polymorphisms in β-casein, κ-casein, β-lactoglobulin and DGAT1 genes. Correction for these polymorphisms decreased the proportion of phenotypic variance explained by the QTL previously found on BTA6, 11 and 14. Thus, several significant QTL affecting milk protein composition were found, of which some QTL could partially be explained by polymorphisms in milk protein genes.