Reconstituted micellar casein concentrates and milk protein concentrates of 2.5 and 10% (wt/vol) protein concentration were subjected to high-pressure processing at pressures from 150 to 450 MPa, for 15 min, at ambient temperature. The structural changes induced in milk proteins by high-pressure processing were investigated using a range of physical, physicochemical, and chemical methods, including dynamic light scattering, rheology, mid-infrared spectroscopy, scanning electron microscopy, proteomics, and soluble mineral analyses. The experimental data clearly indicate pressure-induced changes of casein micelles, as well as denaturation of serum proteins. Calcium-binding αS1- and αS2-casein levels increased in the soluble phase after all pressure treatments. Pressurization up to 350 MPa also increased levels of soluble calcium and phosphorus, in all samples and concentrations, whereas treatment at 450 MPa reduced the levels of soluble Ca and P. Experimental data suggest dissociation of calcium phosphate and subsequent casein micelle destabilization as a result of pressure treatment. Treatment of 10% micellar casein concentrate and 10% milk protein concentrate samples at 450 MPa resulted in weak, physical gels, which featured aggregates of uniformly distributed, casein substructures of 15 to 20 nm in diameter. Serum proteins were significantly denatured by pressures above 250 MPa. These results provide information on pressure-induced changes in high-concentration protein systems, and may inform the development on new milk protein-based foods with novel textures and potentially high nutritional quality, of particular interest being the soft gel structures formed at high pressure levels.