Hyaluronic acid (HA), a naturally occurring polysaccharide with recognized health benefits, has gained approval for use in the food industry as a food additive, ingredient, and health supplement in numerous countries. HA can increase viscosity in solutions and is available commercially in various molecular weights (MW) depending on end applications. Nevertheless, no research has explored the impact of different MW HAs on functionality, rheological properties, and texture-building benefits in the dairy product matrix wherein they are incorporated. Therefore, the objective of this study was to evaluate how varying MWs of HA—specifically 8 kDa, 320 kDa, 980 kDa, and 2550 kDa at 0.25% (w/w) concentration—impact rheological characteristics, functional attributes, heat stability, protein stability, protein structure, and protein fractions within skim milk. The addition of HA led to an increase in the apparent viscosity of all samples. A higher G″ value over G′ values for all HA samples was observed in frequency sweep, indicating the absence of interparticle interactions between HA particles. Protein stability and heat stability were significantly lower for 980 kDa and 2550 kDa HA as compared to the control and 8 kDa HA samples. As the MW increased, WHC, emulsion properties, and foaming stability notably increased. However, reversed results were found in the case of foaming activity. Moreover, no significant changes were observed in the percent area of individual protein fractions and the hydrodynamic diameter of protein particles. This study would help to understand the effect of HA when incorporated in dairy products for water binding or enhancement in viscosity-based applications.