Improving feed efficiency is crucial to the animal industry. Residual feed intake (RFI) is now regarded as an index of feed efficiency evaluation and is independent of growth characteristics. Our study aims to explore the alterations in growth performance and nutrient digestion in Hu sheep with different RFI phenotypes. Sixty-four male Hu sheep (body weight = 24.39 ± 1.12 kg; postnatal days = 90 ± 7.9) were selected for the study. After an evaluation period of 56 days and power analysis, samples were collected from 14 low RFI (L-RFI group, power = 0.95) and 14 high RFI sheep (H-RFI group, power = 0.95). The L-RFI sheep yielded a lower (P < 0.05) feed conversion ratio and dry matter intake; however, both groups exhibited similar average daily gain (P > 0.05). The acid detergent fiber, neutral detergent fiber, organic matter, and crude protein apparent digestibility were higher (P < 0.05) in L-RFI sheep. N intake and fecal N output (% of N intake) were lower (P < 0.05) and N retention (% of N intake) was higher (P < 0.05) in L-RFI sheep, whereas no difference (P > 0.05) was found in urine N output (% of N intake) between the 2 groups. Furthermore, L-RFI sheep gave lower (P < 0.05) serum glucose concentrations and higher (P < 0.05) non-esterified fatty acid concentrations. Meanwhile, a lower ruminal acetate molar proportion (P < 0.05) and higher propionate molar proportion (P < 0.05) were observed in L-RFI sheep. In summary, these results revealed that despite having lower dry matter intake, L-RFI sheep possess higher nutrient digestibility, N retention, ruminal propionate production and serum glucose utilization, in order to meet energy demands. Selection for low RFI sheep could reduce feed costs, which in turn provides economic benefits to the sheep industry.