As a result of the genetic selection for prolificacy and the improvements in the environment and farms management, litter size has increased in the last few years so that energy requirements of the lactating sow are greater. In addition, selection for feed efficiency of growing pigs is also conducted in maternal lines, and this has led to a decrease in appetite and feed intake that is extended to the lactation period, so the females are not able to obtain the necessary energy and nutrients for milk production and they mobilize their energetic reserves. When this mobilization is excessive, reproductive and health problems occur which ends up in an early sow culling. In this context, it has been suggested to improve feed efficiency at lactation through genetic selection. The aim of this study is to know, in a Duroc population, the genetic determinism of sow feed efficiency during lactation and traits involved in its definition, as well as genetic and environmental associations between them. The studied traits are daily lactation feed intake (dLFI), daily sow weight balance (dSWB), backfat thickness balance (BFTB), daily litter weight gain (dLWG), sow residual feed intake (RFI) and sow restricted residual feed intake (RRFI) during lactation. Data corresponded to 851 parities from 581 Duroc sows. A Bayesian analysis was performed using Gibbs sampling. A four-trait repeatability animal model was implemented including the systematic factors of batch and parity order, the standardized covariates of sow weight (SWf) and litter weight (LWs) at farrowing for all traits and lactation length for BFTB. The posterior mean (posterior SD) of heritabilities were: 0.09 (0.03) for dLFI, 0.37 (0.07) for dSWB, 0.09 (0.03) for BFTB, 0.22 (0.05) for dLWG, 0.04 (0.02) for RFI and null for RRFI. The genetic correlation between dLFI and dSWB was high and positive (0.74 (0.11)) and null between dLFI and BFTB. Genetic correlation was favourable between RFI and dLFI and BFTB (0.71 (0.16) and −0.69 (0.18)), respectively. The other genetic correlations were not statistically different from zero. The phenotypic correlations were low and positive between dLFI and dSWB (0.27 (0.03), dSWB and BFTB (0.25 (0.04)), and between dLFI and dLWG (0.16 (0.03)). Therefore, in the population under study, the improvement of the lactation feed efficiency would be possible either using RFI, which would not have unfavourable correlated effects, or through an index including its component traits.