Human milk is the optimal diet for infant development, but infant milk formula (IMF) must be available as an alternative. To develop high-quality IMF, bovine milk processing is required to ensure microbial safety and to obtain a protein composition that mimics human milk. However, processing can impact the quality of milk proteins, which can influence gastro-intestinal (GI) tolerance by changing digestion, transit time and/or absorption. The aim of this study was to evaluate the impact of structural changes of proteins due to thermal processing on gastro-intestinal tolerance in the immature GI tract. Preterm and near-term piglets received enteral nutrition based on whey protein concentrate (WPC) either mildly pasteurized (MP-WPC) or extensively heated (EH-WPC). Clinical symptoms, transit time and gastric residuals were evaluated. In addition, protein coagulation and protein composition of coagulates formed during in vitro digestion were analyzed in more detail. Characterization of MP-WPC and EH-WPC revealed that mild pasteurization maintained protein nativity and reduced aggregation of β-lactoglobulin and α-lactalbumin, relative to EH-WPC. Mild pasteurization reduced the formation of coagulates during digestion, resulting in reduced gastric residual volume and increased intestinal tract content. In addition, preterm piglets receiving MP-WPC showed reduced mucosal bacterial adherence in the proximal small intestine. Finally, in vitro digestion studies revealed less protein coagulation and lower levels of β-lactoglobulin and α-lactalbumin in the coagulates of MP-WPC compared with EH-WPC. In conclusion, minimal heat treatment of WPC compared with extensive heating promoted GI tolerance in immature piglets, implying that minimal heated WPC could improve the GI tolerance of milk formulas in infants.