Dairy foods are essential in the diet, although in some susceptible individuals they may cause allergy to cow’s milk proteins. Therefore, alternative methods are sought to reduce their allergenicity. Transglutaminase (TG) is widely used in dairy products mainly to improve texture. Although it has been claimed that TG can be used to modify the digestibility and allergenicity of foods, its impact within a real matrix has been rarely studied. The aim of this work was to assess the allergenic potential of crosslinked skim milk (SM), milk casein fraction (CN), and whey protein (WP). To this purpose, inhibition ELISA with sera from milk allergic patients, in vitro activation tests of mouse mast cells and splenocytes, and simulated gastrointestinal digestion assays were performed. The results showed that cross-linking increased the binding of IgE to WP, but decreased IgE-binding to SM and CN. However, no differences were observed in the ability of cross-linked proteins to induce mast cell degranulation compared to native proteins. The cross-linking of SM and CN reduced Th2 cytokine release from the splenocytes of sensitized mice. All TG-treated samples exhibited more resistance to in vitro digestion than the untreated proteins and the human IgE binding capacity after digestion was higher. In conclusion, TG treatment of milk proteins does not reduce the risk of eliciting allergic symptoms in cow’s milk allergic patients.