This study investigated the changes and lactose glycosylation of milk serum proteins under simulated industrial processing conditions, including raw milk (R), holder pasteurization (L), high temperature short time pasteurization (H), extended shelf life (E), ultra-high temperature sterilization (U) and spray-drying (S). Through label-free proteomics, 433 proteins were identified in the samples. Several immune-related proteins, such as lactoferrin, complement C3, lactadherin, cystain, and lactoperoxidase, decreased in abundance after severe thermal treatments, while the abundance of caseins increased. No immunoglobulins and xanthine oxidase could be detected in milk after E, U or S treatments while 30%–60% of immunoglobulins was retained after pasteurizations. In detail, lactoferrin showed a better retention in H treatment while IgG showed a better retention in L treatment. UPLC-MS results showed that a slight lactose glycosylation occurred to α-LA and β-LG after severe thermal treatments (E, U and S). In addition, the results of LC-MS/MS based proteomics were verified by determining the lactoferrin and IgG content using ELISA. The observations here would update current information on the changes of milk proteins during traditional thermal processing and help to optimize current dairy processing.