Proteins in donkey milk (DM) have special biological activities. However, the bioactive proteins and their expression regulation in donkey milk are still unclear. Thus, the differentially expressed proteins (DEPs) in DM in different lactation stages were first investigated by data-independent acquisition (DIA) proteomics. A total of 805 proteins were characterized in DM. The composition and content of milk proteins varied with the lactation stage. A total of 445 candidate DEPs related to biological processes and molecular functions were identified between mature milk and colostrum. The 219 down-regulated DEPs were mainly related to complement and coagulation cascades, staphylococcus aureus infection, systemic lupus erythematosus, prion diseases, AGE-RAGE signaling pathways in diabetic complications, and pertussis. The 226 up-regulated DEPs were mainly involved in metabolic pathways related to nutrient (fat, carbohydrate, nucleic acid, and vitamin) metabolism. Some other DEPs in milk from the lactation period of 30 to 180 days also had activities such as promoting cell proliferation, promoting antioxidant, immunoregulation, anti-inflammatory, and antibacterial effects, and enhancing skin moisture. DM can be used as a nutritional substitute for infants, as well as for cosmetic and medical purposes. Our results provide important insights for understanding the bioactive protein differences in DM in different lactation stages.