To improve the genomic evaluation of milk-related traits in Holstein-Friesian (HF) cattle it is essential to identify the associated candidate genes. Novel SNP-based analyses, such as the genetic mapping of inherited diseases, GWAS, and genomic selection, have led to a new era of research. The aim of this study was to analyze the association of each individual SNP in Serbian HF cattle with milk production traits and inbreeding levels. The SNP 60 K chip Axiom Bovine BovMDv3 was deployed for the genotyping of 334 HF cows. The obtained genomic results, together with the collected phenotypic data, were used for a GWAS. Moreover, the identification of ROH segments was performed and served for inbreeding coefficient evaluation and ROH island detection. Using a GWAS, a polymorphism, rs110619097 (located in the intron of the gene), was detected to be significantly ( < 0.01) associated with the milk protein concentration in the first lactation (adjusted to 305 days). The average genomic inbreeding value (F) was 0.079. ROH islands were discovered in proximity to genes associated with milk production traits and genomic regions under selection pressure for other economically important traits of dairy cattle. The findings of this pilot study provide useful information for a better understanding of the genetic architecture of milk production traits in Serbian HF dairy cows and can be used to improve lactation performances in Serbian HF cattle breeding programs.