Breeding values for dry matter intake (DMI) are important to optimize dairy cattle breeding goals for feed efficiency. However, generally, only small data sets are available for feed intake, due to the cost and difficulty of measuring DMI, which makes understanding the genetic associations between traits across lactation difficult, let alone the possibility for selection of breeding animals. However, estimating national breeding values through cheaper and more easily measured correlated traits, such as milk yield and liveweight (LW), could be a first step to predict DMI. Combining DMI data across historical nutritional experiments might help to expand the data sets. Therefore, the objective was to estimate genetic parameters for DMI, fat- and protein-corrected milk (FPCM) yield, and LW across the entire first lactation using a relatively large data set combining experimental data across the Netherlands. A total of 30,483 weekly records for DMI, 49,977 for FPCM yield, and 31,956 for LW were available from 2,283 Dutch Holstein-Friesian first-parity cows between 1990 and 2011. Heritabilities, covariance components, and genetic correlations were estimated using a multivariate random regression model. The model included an effect for year-season of calving, and polynomials for age of cow at calving and days in milk (DIM). The random effects were experimental treatment, year-month of measurement, and the additive genetic, permanent environmental, and residual term. Additive genetic and permanent environmental effects were modeled using a third-order orthogonal polynomial. Estimated heritabilities ranged from 0.21 to 0.40 for DMI, from 0.20 to 0.43 for FPCM yield, and from 0.25 to 0.48 for LW across DIM. Genetic correlations between DMI at different DIM were relatively low during early and late lactation, compared with mid lactation. The genetic correlations between DMI and FPCM yield varied across DIM. This correlation was negative (up to -0.5) between FPCM yield in early lactation and DMI across the entire lactation, but highly positive (above 0.8) when both traits were in mid lactation. The correlation between DMI and LW was 0.6 during early lactation, but decreased to 0.4 during mid lactation. The highest correlations between FPCM yield and LW (0.3–0.5) were estimated during mid lactation. However, the genetic correlations between DMI and either FPCM yield or LW were not symmetric across DIM, and differed depending on which trait was measured first. The results of our study are useful to understand the genetic relationship of DMI, FPCM yield, and LW on specific days across lactation.