Milk contains a variety of bioactive ingredients, such as lactoferrin and immunoglobulin, which are beneficial to health. Reducing the loss of these proteins during processing has always been the focus of attention. Dynamic high-pressure processing technology, also known as ultra-high-pressure homogenization (UHPH), is one of the relatively novel processing technology means. In this review, the research progress of the heat load intensity and the retention of key nutrients in the processing of dairy products were summarized from the aspects of Maillard reaction products, lactoferrin, immunoglobulin and other bioactive ingredients and vitamin loss. Moreover, the development direction of ultra-high-pressure homogenization in dairy product processing was prospected.