In the processing of dairy products, heat treatment is usually used to ensure food safety and extend product shelf life. Being advantageous over thermal processing, ultra-high pressure, a non-thermal processing technology that kills or inhibits contaminating microorganisms in milk, can not only ensure the safety of dairy products and extend the shelf life, but also can have an impact on the sensory quality, nutrient retention and processing properties of milk proteins. In this paper, the recent progress in the effects of ultra-high pressure treatment on the sensory, physicochemical and protein processing properties of milk is reviewed, which will provide a rationale for the application of ultra-high pressure in dairy processing.