High hydrostatic pressure (HHP) is considered one of the most sustainable and green technologies. HHP can prolong the shelf life of food, change the physical and chemical properties of milk proteins and enzymes, and improve the functions, nutritional characteristics and sensory quality of food. In this paper, the structural and functional changes of proteins and enzymes in milk caused by HHP treatment are reviewed, which provides a rationale for the application of high hydrostatic pressure in dairy products.