The genomic selection (GS) methodology proposed over 20 years ago by Meuwissen et al. (Genetics, 2001) has revolutionized plant breeding. A predictive methodology that trains statistical machine learning algorithms with phenotypic and genotypic data of a reference population and makes predictions for genotyped candidate lines, GS saves significant resources in the selection of candidate individuals. However, its practical implementation is still challenging when the plant breeder is interested in the prediction of future seasons or new locations and/or environments, which is called the “leave one environment out” issue. Furthermore, because the distributions of the training and testing set do not match, most statistical machine learning methods struggle to produce moderate or reasonable prediction accuracies. For this reason, the main objective of this study was to explore the use of the multi-trait partial least square (MT-PLS) regression methodology for this specific task, benchmarking its performance with the Bayesian Multi-trait Genomic Best Linear Unbiased Predictor (MT-GBLUP) method. The benchmarking process was performed with five actual data sets. We found that in all data sets the MT-PLS method outperformed the popular MT-GBLUP method by 349.8% (under predictor E + G), 484.4% (under predictor E + G + GE; where E denotes environments, G genotypes and GE the genotype by environment interaction) and 15.9% (under predictor G + GE) across traits. Our results provide empirical evidence of the power of the MT-PLS methodology for the prediction of future seasons or new environments. Furthermore, the comparison between single univariate-trait (UT) versus MT for GBLUP and PLS gave an increase in prediction accuracy of MT-GBLUP versus UT-GBLUP, but not for MT-PLS versus UT-PLS.