Exhibit 23.03

Consent of Independent Registered Public Accounting Firm

We consent to the reference to our firm under the caption “Experts” in the Registration Statement on Form S-1 of Valero GP Holdings, LLC for the registration of its units and to the use of our reports dated: (i) February 3, 2006, with respect to the combined financial statements of Valero GP Holdings, LLC, and (ii) March 11, 2004, with respect to the consolidated financial statements of Valero L.P.

/s/ Ernst & Young LLP

San Antonio, Texas

March 30, 2006