Although milk polar lipids such as phospholipids and sphingolipids located in the milk fat globule membrane constitute 0.1 to 1% of the total milk fat, those lipid fractions are gaining increasing interest because of their potential beneficial effects on human health and technological properties. In this context, the accurate quantification of the milk polar lipids is crucial for comparison of different milk species, products, or dairy treatments. Although the official International Organization for Standardization-International Dairy Federation method for milk lipid extraction gives satisfactory results for neutral lipids, it has important disadvantages in terms of polar lipid losses. Other methods using mixtures of solvents such as chloroform:methanol are highly efficient for extracting polar lipids but are also associated with low sample throughput, long time, and large solvent consumption. As an alternative, we have optimized the milk fat extraction yield by using a pressurized liquid extraction (PLE) method at different temperatures and times in comparison with those traditional lipid extraction procedures using 2:1 chloroform:methanol as a mixture of solvents. Comparison of classical extraction methods with the developed PLE procedure were carried out using raw whole milk from different species (cows, ewes, and goats) and considering fat yield, fatty acid methyl ester composition, triacylglyceride species, cholesterol content, and lipid class compositions, with special attention to polar lipids such as phospholipids and sphingolipids. The developed PLE procedure was validated for milk fat extraction and the results show that this method performs a complete or close to complete extraction of all lipid classes and in less time than the official and Folch methods. In conclusion, the PLE method optimized in this study could be an alternative to carry out milk fat extraction as a routine method.