The objective was to evaluate the effects of directional selection based on estimated genomic breeding values (GEBVs) for a quantitative trait. Selection affects GEBV prediction accuracy as well as genetic architecture via changes in allelic frequencies and linkage disequilibrium (LD), and the resulting changes are different from those in the absence of selection. How marker density affects long-term GEBV accuracy and selection response needs to be understood as well. Simulations were used to characterize the impact of selection based on GEBVs over generations. Single-nucleotide polymorphism (SNP) marker effects were estimated with the Bayesian Lasso method in the base generation, and these estimates were used to calculate the GEBVs in subsequent generations. GEBV accuracy decreased over generations of selection, and it was lower than under random selection, where a decay took place as well. In the long term, selection response tended to reach a plateau, but, at higher marker density, both the magnitude and duration of the response were larger. Selection changed quantitative trait loci (QTL) allele frequencies and generated new but unfavorable LD for prediction. Family effects had a considerable contribution to GEBV accuracy in early generations of selection.