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Simple Summary: Today the environmental sustainability of livestock has become increasingly important. Nitrogen excretion from livestock can lead to air and groundwater pollution, causing acid rain, fine air particulates, and greenhouse gas emissions that lead to climate change, groundwater nitrate poisoning, and surface water eutrophication. Often, livestock are fed diets with a protein content that is much higher than what they require. In this experiment, a herd of dairy goats of the Alpine breed, reared on a farm in the hills near Genoa, Italy, was used to study the impacts of being fed a low- or a high-protein diet. The high-protein diet did not improve milk yield and quality; on the contrary, it lowered the efficiency of dietary-nitrogen utilization, increased feeding cost, and, above all, increased nitrogen excretion and the associated environmental risks. In conclusion, a high-protein diet is not advisable, both economically and environmentally, and a precision feeding approach (i.e., supplying the nutrients required for a given body mass and level of production, and no more) is highly recommended. In view of better environmental sustainability, livestock diets must not exceed protein requirements, as often happens with lactating goats reared in semi-intensive systems. The aim of this experiment was to verify in real-breeding conditions the influence of two diets with different protein contents (% crude protein (CP) on dry matter (DM)): 16.0 (high-protein diet; HP) vs 12.2 (low-protein diet; LP) on milk production in dairy goats. The diets differed only in the replacement—in the LP diet—of 250 g soybean meal with 250 g maize grain meal. Twenty-three Alpine goats were divided into two groups and used in a cross-over feeding trial for 2 months. Animals were weighed at the beginning of each month of the trial, and feed intake and milk yield and composition were recorded weekly. HP and LP did not differ statistically for milk yield and composition (3.32 vs 3.42 kg milk/d, 3.21% vs 3.27% fat, 3.31% vs 3.27% protein for HP and LP, respectively), but the HP diet determined a higher milk urea content (51.2 vs 36.6 mg/dL, p < 0.001) and a worse efficiency of nitrogen utilization (28.0% vs 37.2%). In conclusion, the LP diet resulted in a reduction of urinary nitrogen excretion by 28% and of the feed cost by about 10%. [ABSTRACT FROM AUTHOR]