Summary Dietary fat may play a role in the aetiology of many chronic diseases. Milk and milk‐derived foods contribute substantially to dietary fat, but have a fat composition that is not optimal for human health. We measured the fat composition of milk samples in 1918 Dutch Holstein Friesian cows in their first lactation and estimated genetic parameters for fatty acids. Substantial genetic variation in milk‐fat composition was found: heritabilities were high for short‐ and medium‐chain fatty acids (C4:0–C16:0) and moderate for long‐chain fatty acids (saturated and unsaturated C18). We genotyped 1762 cows for the DGAT1 K232A polymorphism, which is known to affect milk‐fat percentage, to study the effect of the polymorphism on milk‐fat composition. We found that the DGAT1 K232A polymorphism has a clear influence on milk‐fat composition. The DGAT1 allele that encodes lysine (K) at position 232 (232K) is associated with more saturated fat; a larger fraction of C16:0; and smaller fractions of C14:0, unsaturated C18 and conjugated linoleic acid (P < 0.001). We conclude that selective breeding can make a significant contribution to change the fat composition of cow's milk.