To investigate the associations of milk intake (non-fermented and fermented milk), lactase persistence (LCT-13910 C/T) genotype (a proxy for long-term non-fermented milk intake), and gene-milk interaction with risks of cardiovascular disease (CVD) and CVD mortality. Also, to identify the CVD-related plasma proteins and lipoprotein subfractions associated with milk intake and LCT-13910 C/T genotype. The prospective cohort study included 20,499 participants who were followed up for a mean of 21 years. Dietary intake was assessed using a modified diet history method. Cox proportional hazards regression models were used to calculate hazard ratios (HRs) and 95% confidence intervals (CIs). After adjusting for sociodemographic and lifestyle factors, higher non-fermented milk intake was significantly associated with higher risks of coronary heart disease (CHD) and CVD mortality, whereas higher fermented milk intake was significantly associated with lower risks of CVD and CVD mortality. The genotype associated with higher milk (mainly non-fermented) intake was positively associated with CHD (CT/TT vs. CC HR = 1.27; 95% CI: 1.03, 1.55) and CVD (HR = 1.22; 95% CI: 1.05, 1.42). The association between rs4988235 genotype and CVD mortality was stronger in participants with higher milk intake than among participants with lower intake (P for interaction < 0.05). Furthermore, leptin, HDL, and large HDL were associated with non-fermented milk intake, while no plasma proteins or lipoprotein subfractions associated with fermented milk intake and LCT-13910 C/T genotype were identified. In conclusion, non-fermented milk intake was associated with higher risks of CHD and CVD mortality, as well as leptin and HDL, whereas fermented milk intake was associated with lower risks of CVD and CVD mortality.