In farmed fish, selective breeding for feed conversion ratio (FCR) may be possible via indirectly selecting for easily-measured indicator traits correlated with FCR. We tested the hypothesis that rainbow trout with low lipid% have genetically better FCR, and that lipid% may be genetically related to retention efficiency of macronutrients, making lipid% a useful indicator trait. A quantitative genetic analysis was used to quantify the benefit of replacing feed intake in a selection index with one of three lipid traits: body lipid%, muscle lipid% or viscera% weight of total body weight (reflecting visceral lipid). The index theory calculations showed that simultaneous selection for weight gain and against feed intake (direct selection to improve FCR) increased the expected genetic response in FCR by 1·50-fold compared with the sole selection for growth. Replacing feed intake in the selection index with body lipid%, muscle lipid% or viscera% increased genetic response in FCR by 1·29-, 1·49- and 1·02-fold, respectively, compared with the sole selection for growth. Consequently, indirect selection for weight gain and against muscle lipid% was almost as effective as direct selection for FCR. Fish with genetically low body and muscle lipid% were more efficient in turning ingested protein into protein weight gain. Both physiological and genetic mechanisms promote the hypothesis that low-lipid% fish are more efficient. These results highlight that in breeding programmes of rainbow trout, control of lipid deposition improves not only FCR but also protein-retention efficiency. This improves resource efficiency of aquaculture and reduces nutrient load to the environment.