Cow’s milk is considered the best wholesome supplement for children since it is highly enriched with micro and macro nutrients. Although the protein fraction is composed of more than 25 proteins, only a few of them are capable of triggering allergic reactions in sensitive consumers. The balance in protein composition plays an important role in the sensitization capacity of cow’s milk, and its modification can increase the immunological response in allergic patients. In particular, the heating treatments in the presence of a food matrix have demonstrated a decrease in the milk allergenicity and this has also proved to play a pivotal role in developing tolerance towards milk. In this paper we investigated the effect of thermal treatment like baking of cow’s milk proteins that were employed as ingredients in the preparation of muffins. A proteomic workflow was applied to the analysis of the protein bands highlighted along the SDS gel followed by western blot analyses with sera of milk allergic children in order to have deeper information on the impact of the heating on the epitopes and consequent IgE recognition. Our results show that incorporating milk in muffins might promote the formation of complex milk–food components and induce a modulation of the immunoreactivity towards milk allergens compared to milk baked in the oven at 180 °C for ten minutes. The interactions between milk proteins and food components during heating proved to play a role in the potential reduction of allergenicity as assessed by in vitro tests. This would help, in perspective, in designing strategies for improving milk tolerance in young patients affected from severe milk allergies.