Abstract Thermal processing of milk promotes oxidation reactions and changes in organoleptic characteristics. Application of High Pressure Processing (HPP) is a promising alternative but little is known about the impact on milk compounds, mainly lipids. This research aims to study the possible alteration of the composition of milk lipids and fatty acids as result of HPP using 250–900 MPa. Thus, two cow milk batches were assayed and the composition in tri-., di-., monoacylglycerols, cholesterol, cholesterol esters, free fatty acids, phospholipids and fatty acids analysed. It was found differences (p < 0.05) among batches in the distribution of triacylglycerols (CN34, CN50 and CN54) and also in the concentration of diacylglycerols, monoacylglycerols, cholesterol, phosphatidylethanolamine and phosphatidylinositol and unsaturated fatty acids (C18:1 10t, C18:1 9c, C18:1 11c, C18:1 16t+14c, C18:2 9c,12c, C18:2 9c,11t and C20:1 9c). Data from the current study showed that processing by HPP up to 900 MPa did not produce significant changes to the lipid classes or fatty acid composition of milk fat.