Accurate genomic prediction requires a large reference population, which is problematic for traits that are expensive to measure. Traits related to milk protein composition are not routinely recorded due to costly procedures and are considered to be controlled by a few quantitative trait loci of large effect. The amount of variation explained may vary between regions leading to heterogeneous (co)variance patterns across the genome. Genomic prediction models that can efficiently take such heterogeneity of (co)variances into account can result in improved prediction reliability. In this study, we developed and implemented novel univariate and bivariate Bayesian prediction models, based on estimates of heterogeneous (co)variances for genome segments (BayesAS). Available data consisted of milk protein composition traits measured on cows and de-regressed proofs of total protein yield derived for bulls. Single-nucleotide polymorphisms (SNPs), from 50K SNP arrays, were grouped into non-overlapping genome segments. A segment was defined as one SNP, or a group of 50, 100, or 200 adjacent SNPs, or one chromosome, or the whole genome. Traditional univariate and bivariate genomic best linear unbiased prediction (GBLUP) models were also run for comparison. Reliabilities were calculated through a resampling strategy and using deterministic formula.