Pet foods are gaining ground in China. Canine milk substitute formulations are based on their milk chemistry. This study aimed to analyze and compare the differences in proteins, fatty acids, minerals, and basic chemical composition between canine, bovine, and caprine milk. Canine milk contains higher contents of protein (6.62–17.34%), fat (8.92–14.31%), and ash (1.11–1.81%), and a lower content of lactose (1.56–3.92%) compared to bovine and caprine milk. The protein profiles of canine, bovine, and caprine milk were similar as confirmed by sodium dodecyl sulphate-polyacrylamide electrophoresis gel (SDS-PAGE). The quantification of proteins in canine, bovine, and caprine milk were significantly different when analyzed by inverse high-performance liquid chromatography. Canine milk showed higher contents of monounsaturated fatty acids (29.71–32.95% of total fatty acids) and polyunsaturated fatty acids (16.83–20.56% of total fatty acids), but a lower proportion of saturated fatty acids (47.57–53.18% of total fatty acids) than bovine and caprine milk. The essential fatty acids ARA and DHA were also found in canine milk in the ranges of 0.82–1.77% and 0.12–0.43% of total fatty acids, respectively. Canine milk had higher levels of Mg, K, Na, Fe, and Zn than those in bovine and caprine milk. The nutrient profile of canine milk was different from that of bovine and caprine milk. There were differences in nutritional compositions of the milk samples from four breeds, and Rottweiler milk had the highest nutritional content. The data of this study may provide useful information about the nutritional needs of puppies during their first months of life and the basic information for formulations of puppy milk substitutes.