We performed a genome-wide association study and fine mapping using two methods (single marker regression: frequentist approach and Bayesian C (BayesC): fitting selected single nucleotide polymorphisms (SNPs) in a Bayesian framework) through three high-density SNP chip platforms to analyze milk production phenotypes in Korean Holstein cattle (n = 2780). We identified four significant SNPs for each phenotype in the single marker regression model: AX-311625843 and AX-115099068 on Bos taurus autosome (BTA) 14 for milk yield (MY) and adjusted 305-d fat yield (FY), respectively, AX-428357234 on BTA 18 for adjusted 305-d protein yield (PY), and AX-185120896 on BTA 5 for somatic cell score (SCS). Using the BayesC model, we discovered significant 1-Mb window regions that harbored over 0.5% of the additive genetic variance effects for four milk production phenotypes. The concordant significant SNPs and 1-Mb window regions were characterized into quantitative trait loci (QTL). Among the QTL regions, we focused on a well-known gene (diacylglycerol O-acyltransferase 1 (DGAT1)) and newly identified genes (phosphodiesterase 4B (PDE4B), and anoctamin 2 (ANO2)) for MY and FY, and observed that DGAT1 is involved in glycerolipid metabolism, fat digestion and absorption, metabolic pathways, and retinol metabolism, and PDE4B is involved in cAMP signaling. Our findings suggest that the candidate genes in QTL are strongly related to physiological mechanisms related to the fat production and consequent total MY in Korean Holstein cattle.