Effectiveness of indirect selection for grain yield was investigated among eight bread wheat lines, selected in a stress environment in the East African Highlands, where they showed a wide response to yellow rust, the biotic factor causing the stress. The lines were intercrossed to give an 8 x 8F1 diallel, which was grown in this same environment for three consecutive growing seasons during 1994 and 1995. Half of the last trial was sprayed with fungicide. From the estimates of narrow-sense heritabilities for yield and yellow rust severity, and the genetic correlation between them, indirect selection for yield in the unsprayed plots, obtained by choosing the most resistant 5% of this material was, on average, 12% higher than selecting for yield itself. In the fungicide-treated plots, indirect selection was only 73% as efficient as direct selection. The implications of these results for selecting for yield in stress environments are discussed.