We report on a compact, high efficiency mid-infrared continuous-wave (CW) Fe:ZnSe laser pumped by a 2.9 μm fiber laser under liquid nitrogen cooling. A maximum output power of 5.5 W and a slope efficiency of up to 66.3% with respect to the launched pump power were obtained. The overall optical-to-optical (OTO) conversion efficiency, calculated from the output of 2.9 μm fiber laser to the 4-µm laser, was as high as ~54.5%. The OTO efficiency and the slope efficiency are, to the best of our knowledge, the highest in ever reported Fe:ZnSe lasers. A rate-equation-based numerical model of CW operation was established, and the simulation agreed well with the experiment, identifying the routes used in the experiment for such high efficiency.