Genomic prediction from whole-genome sequence data is attractive, as the accuracy of genomic prediction is no longer bounded by extent of linkage disequilibrium between DNA markers and causal mutations affecting the trait, given the causal mutations are in the data set. A cost-effective strategy could be to sequence a small proportion of the population, and impute sequence data to the rest of the reference population. Here, we describe strategies for selecting individuals for sequencing, based on either pedigree relationships or haplotype diversity. Performance of these strategies (number of variants detected and accuracy of imputation) were evaluated in sequence data simulated through a real Belgian Blue cattle pedigree. A strategy (AHAP), which selected a subset of individuals for sequencing that maximized the number of unique haplotypes (from single-nucleotide polymorphism panel data) sequenced gave good performance across a range of variant minor allele frequencies. We then investigated the optimum number of individuals to sequence by fold coverage given a maximum total sequencing effort. At 600 total fold coverage (x 600), the optimum strategy was to sequence 75 individuals at eightfold coverage. Finally, we investigated the accuracy of genomic predictions that could be achieved. The advantage of using imputed sequence data compared with dense SNP array genotypes was highly dependent on the allele frequency spectrum of the causative mutations affecting the trait. When this followed a neutral distribution, the advantage of the imputed sequence data was small; however, when the causal mutations all had low minor allele frequencies, using the sequence data improved the accuracy of genomic prediction by up to 30%.