Milk proteins are prone to changes during the heat treatment process. Here, we aimed to study the changes in caprine milk fat globule membrane (MFGM) proteins with three heat treatment processes-ultra-pasteurization (85 °C, 30 min), ultra-high-temperature instant sterilization (135 °C, 5 s), and spray-drying (inlet, 160 °C and outlet, 80 °C)-using the label-free proteomics technique. A total of 1015, 637, 508, and 738 proteins were identified in the raw milk, ultra-pasteurized milk, ultra-high-temperature instant sterilized milk, and spray-dried reconstituted milk by using label-free proteomics techniques, respectively. Heat treatment resulted in a significant decrease in the relative intensity of MFGM proteins, such as xanthine dehydrogenase/oxidase, butyrophilin subfamily 1 member A, stomatin, and SEA domain-containing protein, which mainly come from the membrane, while the proteins in skimmed milk, such as β-lactoglobulin, casein, and osteopontin, increased in MFGM after heat treatment. Among these different heat treatment groups, the procedure of spray-drying resulted in the least abundance reduction of caprine milk MFGM proteins. Additionally, it showed heating is the key process affecting the stability of caprine MFGM protein rather than the spray-drying process. These findings provide new insights into the effects of heat treatment on caprine MFGM protein composition and potential biological functions.