The study aimed to compare energy partitioning between heat production (HP) and retained energy (RE) and gross energy efficiency of dairy cows fed different strategies during mid-lactation. Twenty-four multiparous spring calving cows (665 ± 65 kg BW and 3.0 ± 0.4 BCS at calving) were used in a randomized complete block design in which during summer (114 to 180 ± 11 d in milk) were assigned to 2 feeding strategies: (G0) 100% total mixed ration (TMR) ad libitum (45% forage:55% concentrate) or (G1) grazing alfalfa from 18:00 to 4:00 h (herbage mass = 1380 ± 328 kg DM/ha, herbage allowance = 20 kg DM/d, above 4 cm) and supplemented with TMR (50% of ad libitum offer) after the morning milking. Cow HP (measured by O2 pulse technique), RE in milk (estimated by daily milk yield and milk composition determined every 14 d) and RE in body tissue (estimated from changes in BW and BCS recorded every 14 d) were used to calculate energy balance from 136 to 164 d in milk. Metabolizable energy (ME) intake was estimated as HP + total RE and residual HP was calculated as the difference between measured and predicted HP (based on NRC 2001 model). Data were analyzed with a mixed model including feeding strategy as fixed effect and block as random effect. Milk yield did not differ between treatments but RE in milk was greater (P = 0.01; 93.6 vs 83.2 ± 2.6 MJ/d) while RE in tissue was less (P = 0.01; −4.9 vs 0.23 ± 1.4 MJ/d) for G0 than G1 cows. Although ME intake did not differ between treatments (206.5 ± 7.4 MJ/d), measured HP tended (P = 0.07) to be greater and residual HP was greater (P < 0.01) for G1 than G0 cows (126.3 vs 111.7 ± 5.5MJ/d and 13.5 vs −9.5 ± 3.9 MJ/d). Residual HP indicated that the NRC model estimated correctly energy requirements of confined cows (G0) but underestimated them for grazing cows (G1) as maintenance energy cost seems to be increased by 6% of ME intake. Energy efficiency adjusted by changes in body reserves was greater (P = 0.03) for G0 than G1 cows (0.44 vs 0.40 ± 0.01). Results indicated inclusion of pasture grazing in the diet reduced the efficiency in the use of consumed ME associated with a greater total and residual heat production probably related to increased activity, forage digestion and unbalanced protein to energy ratio.