Producers of milk and dairy products have been faced with the challenge of responding to European society’s demand for guaranteed animal welfare production. In recent years, measures have been taken to improve animal welfare conditions on farms and evaluation systems have been developed to certify them, such as the Welfare Quality® protocol. Among the markers used for this purpose, acute phase proteins stand out, with haptoglobin being one of the most relevant. However, the diagnostic power of these tools is limited and more sensitive and specific technologies are required to monitor animal health status. Different factors such as diet, stress, and diseases modify the metabolism of the animals, altering the composition of the milk in terms of oligosaccharides, proteins, and lipids. Thus, in order to study oxidative-stress-associated lipids, a collection of well-characterized milk samples, both by veterinary diagnosis and by content of the acute stress biomarker haptoglobin, was analyzed by mass spectrometry and artificial intelligence. Two lipid species (sphingomyelin and phosphatidylcholine) were identified as potential biomarkers of health status in dairy cows. Both lipids allow for the discrimination of milk from sick animals and also milk from those with stress. Moreover, lipidomics revealed specific lipid profiles depending on the origin of the samples and the degree of freedom of the animals on the farm. These data provide evidence for specific lipid changes in stressed animals and open up the possibility that haptoglobin could also affect lipid metabolism in cow’s milk.