This study aimed to identify single nucleotide polymorphisms (SNPs) associated with milk cholesterol (CHL) content via a genome wide association study (GWAS). Milk CHL content was determined by gas chromatography and expressed as mg of CHL in 100 g of fat (CHL_fat) or in 100 mg of milk (CHL_milk). GWAS was performed with 1,183 cows and 40,196 SNPs using a univariate linear mixed model. Two and 20 SNPs were significantly associated with CHL_fat and CHL_milk, respectively. The important regions for CHL_fat and CHL_milk were at 41.9 Mb on chromosome (BTA) 17 and 1.6-3.2 Mb on BTA 14, respectively. DGAT1, PTPN1, INSIG1, HEXIM1, SDS, and HTR5A genes, also known to be associated with human plasma CHL phenotypes, were identified as potential candidate genes for bovine milk CHL. Additional new potential candidate genes for milk CHL were RXFP1, FAM198B, TMEM144, CXXC4, MAML2 and CDH13. Enrichment analyses suggested that identified candidate genes participated in cell-cell signaling processes and are key members in tight junction, focal adhesion, Notch signaling and glycerolipid metabolism pathways. Furthermore, identified transcription factors such as PPARD, LXR, and NOTCH1 might be important in the regulation of bovine milk CHL content. The expression of several positional candidate genes (such as DGAT1, INSIG1 and FAM198B) and their correlation with milk CHL content were further confirmed with RNA sequence data from mammary gland tissues. This is the first GWAS on bovine milk CHL. The identified markers and candidate genes need further validation in a larger cohort for use in the selection of cows with desired milk CHL content.