By analyzing the genome of Hungarian Holstein Friesian cows, we looked for genomic regions which have an effect on the milk, fat, and protein yield. Among the sampled animals and the investigated nucleotides, nine were simultaneously associated with milk, fat, and protein yield. Among the nine variants, two had opposite effects; for example, while increasing the value of milk yield, the other one or two parameters’ values decreased. The acquired knowledge can help in the planning of breeding schemes to avoid unwanted interactions among the abovementioned yield parameters.