Energy requirements for veal calves have not been updated recently despite the increased age at slaughter and the predominance of the Prim’Holstein breed in Europe. The objectives of this study were to determine the effects of four feeding levels (FLs) on protein and fat deposition and heat production in milk-fed calves at three stages of fattening and to determine energy requirements of calves. At each stage, 16 Prim’Holstein male calves (mean body weight (BW): 73.4, 151.6 and 237.4 kg) were fed a milk replacer at 79%, 87%, 95% or 103% of a reference FL. Measurements for one stage were conducted over 4 successive weeks in two open-circuit respiration chambers and consisted of a 6-day nitrogen and energy balance followed by a fasting day for estimating fasting heat production (FHP) of the calves. Heat production (HP) measurements were analyzed using a modeling approach to partition it between HP due to physical activity (AHP), feed intake (thermic effect of feeding (TEF)) and FHP. There was no effect of FL and stage on apparent digestibility coefficients, except for a tendency for increased digestibility coefficient of fat as animals got older. The metabolizable energy (ME)/digestible energy (DE) ratio did not depend on FL but decreased (P < 0.01) as animals got older in connection with marked increases in urinary glucose and urea excretion. The AHP and TEF components of HP were not affected by stage or FL and averaged 8.4% and 7.8% of ME intake, respectively. The FHP, expressed per kg BW0.85, increased with increasing FL, suggesting that also ME requirement for maintenance (MEm) may depend on FL. For an average intake of 625 kJ ME/kg BW0.85 per day (95% of the reference FL), FHP was 298 kJ/kg BW0.85 per day. Energy retention as protein and fat increased with increasing FL resulted in higher BW gain. But the rate of increase depended on stage of growth. The slope relating protein deposition to FL was lower in the finishing phase than in the growing phase, while the slope for lipid deposition was greater. Protein and fat contents of BW gain were not affected by FL but increased as animals got older. From these results, the energy requirements of veal calves are proposed according to a new approach, which considers that MEm (expressed per kg BW0.85) depends on ME intake (kJ/kg BW0.85) according to the following relationship: MEm = 197 + 0.25 × ME intake. The corresponding marginal efficiencies of ME utilization for protein and fat deposition are then 82% and 87%, respectively.