Feed efficiency is of particular interest to the beef industry because feed is the largest variable cost in production and fatty acid composition is emerging as an important trait, both economically and socially, due to the potential implications of dietary fatty acids on human health. Quantifying correlations between feed efficiency and fatty acid composition will contribute to construction of optimal multiple-trait selection indexes to maximize beef production profitability. In the present study, we estimated phenotypic and genetic correlations of feed efficiency measures including residual feed intake (RFI), RFI adjusted for final ultrasound backfat thickness (RFIf); their component traits ADG, DMI, and metabolic BW; and final ultrasound backfat thickness measured at the end of feedlot test with 25 major fatty acids in the subcutaneous adipose tissues of 1,366 finishing steers and heifers using bivariate animal models. The phenotypic correlations of RFI and RFIf with the 25 individual and grouped fatty acid traits were generally low (<0.25 in magnitude). However, relatively stronger genetic correlation coefficients of RFI and RFIf with PUFA traits including the -6:-3 ratio (0.52 ± 0.29 and 0.45 ± 0.31, respectively), 18:2-6 (0.45 ± 0.18 and 0.40 ± 0.19, respectively), -6 (0.43 ± 0.18 and 0.38 ± 0.19, respectively), PUFA (0.42 ± 0.18 and 0.36 ± 0.20, respectively), and 9-16:1 (-0.43 ± 0.20 and -0.33 ± 0.22, respectively) were observed. Hence, selection for low-RFI or more efficient beef cattle will improve fatty acid profiles by lowering the content of -6 PUFA, thus reducing the ratio of -6 to -3 along with increasing the amount of 9-16:1. Moderate to moderately high genetic correlations were also observed for DMI with 9-14:1 (-0.32 ± 0.17) and the sum of CLA analyzed (SumCLA; -0.45 ± 0.21), suggesting that selection of beef cattle with lower DMI will lead to an increase amount of 9-14:1 and SumCLA in the subcutaneous adipose tissue. However, unfavorable genetic correlations were detected for ADG with 11-18:1 (-0.38 ± 0.23) and SumCLA (-0.73 ± 0.26), implying that selection of beef cattle with a better growth rate will decrease the contents of healthy fatty acids 11-18:1 and SumCLA. Therefore, it is recommended that a multiple-trait selection index be used when genetic improvements of fatty acid composition, feed efficiency, feed intake, and growth are important in the breeding objective.