Non-thermal processing methods, such as pulsed electric field (PEF) and tangential-flow microfiltration (TFMF), are emerging processing technologies that can minimize the deleterious effects of high temperature short time (HTST) pasteurization on quality attributes of skim milk. The present study investigates the impact of PEF and TFMF, alone or in combination, on color and volatile compounds in skim milk. PEF was applied at 28 or 40 kV/cm for 1122 to 2805 µs, while microfiltration (MF) was conducted using membranes with three pore sizes (lab-scale 0.65 and 1.2 µm TFMF, and pilot-scale 1.4 µm MF). HTST control treatments were applied at 75 or 95 °C for 20 and 45 s, respectively. Noticeable color changes were observed with the 0.65 µm TFMF treatment. No significant color changes were observed in PEF-treated, 1.2 µm TFMF-treated, HTST-treated, and 1.4 µm MF-treated skim milk (p ≥ 0.05) but the total color difference indicated better color retention with non-thermal preservation. The latter did not affect raw skim milk volatiles significantly after single or combined processing (p ≥ 0.05), but HTST caused considerable changes in their composition, including ketones, free fatty acids, hydrocarbons, and sulfur compounds (p < 0.05). The findings indicate that for the particular thermal and non-thermal treatments selected for this study, better retention of skim milk color and flavor components were obtained for the non-thermal treatments.