Thermal treatments of dairy products favor oxidations, Maillard reactions, and the formation of sugar or lipid oxidation products. Additives including flavorings might enhance these reactions or even induce further reactions. Here we aimed to characterize protein modifications in four flavored milk drinks using samples along the production chain—raw milk, pasteurization, mixing with flavorings, heat treatment, and the commercial product. Therefore, milk samples were analyzed using a bottom up proteomics approach and a combination of data-independent (MSE) and data-dependent acquisition methods (DDA). Twenty-one small carbonylated lipids were identified by shotgun lipidomics triggering 13 protein modifications. Additionally, two Amadori products, 12 advanced glycation end products (AGEs), and 12 oxidation-related modifications were targeted at the protein level. The most common modifications were lactosylation, formylation, and carboxymethylation. The numbers and distribution of modification sites present in raw milk remained stable after pasteurization and mixing with flavorings, while the final heat treatment significantly increased lactosylation and hexosylation in qualitative and quantitative terms. The processing steps did not significantly affect the numbers of AGE-modified, oxidized/carbonylated, and lipid-carbonylated sites in proteins.