Genetic parameters were estimated for the major milk proteins using bivariate and multi-trait models based on genomic relationships between animals. The analyses included, apart from total protein percentage, αS1-casein (CN), αS2-CN, β-CN, κ-CN, α-lactalbumin, and β-lactoglobulin, as well as the posttranslational sub-forms of glycosylated κ-CN and αS1-CN-8P (phosphorylated). Standard errors of the estimates were used to compare the models. In total, 650 Danish Holstein cows across 4 parities and days in milk ranging from 9 to 481 d were selected from 21 herds. The multi-trait model generally resulted in lower standard errors of heritability estimates, suggesting that genetic parameters can be estimated with high accuracy using multi-trait analyses with genomic relationships for scarcely recorded traits. The heritability estimates from the multi-trait model ranged from low (0.05 for β-CN) to high (0.78 for κ-CN). Genetic correlations between the milk proteins and the total milk protein percentage were generally low, suggesting the possibility to alter protein composition through selective breeding with little effect on total milk protein percentage.