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Genomic selection (GS) has successfully been used in plant breeding to improve selection efficiency and reduce breeding time and cost. However, there has not been a study to evaluate GS prediction models that may be used for predicting cotton breeding lines across multiple environments. In this study, we evaluated the performance of Bayes Ridge Regression, BayesA, BayesB, BayesC and Reproducing Kernel Hilbert Spaces regression models. We then extended the single-site GS model to accommodate genotype × environment interaction (G×E) in order to assess the merits of multi- over single-environment models in a practical breeding and selection context in cotton, a crop for which this has not previously been evaluated. Our study was based on a population of 215 upland cotton (Gossypium hirsutum) breeding lines which were evaluated for fiber length and strength at multiple locations in Australia and genotyped with 13,330 single nucleotide polymorphic (SNP) markers. BayesB, which assumes unique variance for each marker and a proportion of markers to have large effects, while most other markers have zero effect, was the preferred model. GS accuracy for fiber length based on a single-site model varied across sites, ranging from 0.27 to 0.77 (mean = 0.38), while that of fiber strength ranged from 0.19 to 0.58 (mean = 0.35) using randomly selected sub-populations as the training population. Prediction accuracies from the M×E model were higher than those for single-site and across-site models, with an average accuracy of 0.71 and 0.59 for fiber length and strength, respectively. The use of the M×E model could therefore identify which breeding lines have effects that are stable across environments and which ones are responsible for G×E and so reduce the amount of phenotypic screening required in cotton breeding programs to identify adaptable genotypes.