Developing genomic selection (GS) models is an important step in applying GS to accelerate the rate of genetic gain in grain yield in plant breeding. In this study, seven genomic prediction models under two cross-validation (CV) scenarios were tested on 287 advanced elite spring wheat lines phenotyped for grain yield (GY), thousand-grain weight (GW), grain number (GN), and thermal time for flowering (TTF) in 18 international environments (year-location combinations) in major wheat-producing countries in 2010 and 2011. Prediction models with genomic and pedigree information included main effects and interaction with environments. Two random CV schemes were applied to predict a subset of lines that were not observed in any of the 18 environments (CV1), and a subset of lines that were not observed in a set of the environments, but were observed in other environments (CV2). Genomic prediction models, including genotype × environment (G×E) interaction, had the highest average prediction ability under the CV1 scenario for GY (0.31), GN (0.32), GW (0.45), and TTF (0.27). For CV2, the average prediction ability of the model including the interaction terms was generally high for GY (0.38), GN (0.43), GW (0.63), and TTF (0.53). Wheat lines in site-year combinations in Mexico and India had relatively high prediction ability for GY and GW. Results indicated that prediction ability of lines not observed in certain environments could be relatively high for genomic selection when predicting G×E interaction in multi-environment trials.