Gilthead seabream Sparus aurata L. (initial mean body weight: 42.5 g) were fed four experimental diets containing either 47 or 51% of dry matter (DM) as protein and either 15 or 21% as lipid for 12 weeks. Each diet was hand‐distributed to triplicate groups of 60 fish, three times a day until satiation. The digestibility coefficients of the dietary components were determined using chromic oxide as a marker. The levels of protein or lipid in the diets did not affect the digestibility. Fish regulated their feed intake and attained the same weight at the end of the experiment. However, feed efficiency varied between diets, with best values obtained with both diets containing 21% lipid. When diets contained only 15% lipid, feed efficiency increased with dietary protein level. Nitrogen retention was significantly higher with high fat diets regardless of dietary protein level. Neutral lipid deposition was significantly higher in liver for diets rich in lipids. It was elevated in muscle only in fish fed the diet containing 47% protein and 21% lipid and this deposition in muscle contributed to a significant increase in body fat content. Phosphorus load to the environment, measured as percentage retention of ingested or digestible phosphorus, was significantly lower with both diets higher in lipids.