Yak milk is a dietary source of high-quality protein in the plateau region of China but as yet uncharacterized oxidative changes occur during heat treatment. Therefore, oxidation of and proteomic changes to milk proteins from plateau pasture-fed yaks after at different temperatures were investigated. Content of carbonyl groups, surface hydrophobicity increased, and total sulfhydryl, disulfide bond content decreased. Endogenous fluorescence intensity decreased after at increasing temperatures, indicating increased particle size, and absolute values of the zeta potential decreased. Analysis by Fourier transform infrared spectroscopy showed changes of the secondary structure, with relative content of α-helices increasing and then decreasing, β-sheet showed a trend of decreasing and then increasing while the relative content of random curl did not change. The close range of the β-turn gradually decreased, breaking the protein microstructure, and folding stacking occurred. Proteomics analyses showed a temperature dependent effect. Sixty-two proteins were suppressed and 49 elevated with 4 pathways up-regulated and 7 down-regulated at 65 °C. Thirty-one proteins were suppressed and 37 elevated with 5 pathways up-regulated and 4 down-regulated at 90 °C. The most extensive changes were observed at 120 °C, when 327 proteins were suppressed and 308 elevated with 11 pathways up-regulated and 33 down-regulated.