In the food industry, thermal treatments are generally an essential step to increase the shelf life of the products. This is especially true for milk and dairy products in which heat treatments help to eliminate pathogenic organisms, minimize microbiological development, and improve some sensory properties. However, they can also induce biochemical, physico-chemical, and sensory changes in foods, and then adversely affect the final quality of the products. To assess the quality of milk and dairy products during heating, some nondestructive techniques exist. In this article, the application of spectroscopic non-destructive techniques (fluorescence, infrared, NMR) is analyzed to point out the pertinence by using them as tools to monitor milk and dairy product quality changes during heating. An overview of the last studies on the effect of different conventional and emerging methods of milk and dairy product heating on biochemical, physico-chemical, and sensory quality is also presented, as well as the perspectives of research in this topic.