Thermal pasteurization ensures safety and enhances the shelf-life of milk. Exposure to heat can modify labile milk components and alter the functional properties of milk proteins. This has driven the development of non-thermal food preservation techniques such as pulsed electric field (PEF) processing, primarily for the inactivation of spoilage microorganisms. Milk components, in particular fat and protein, affect the functionality, yield and quality of dairy products, requiring a clear understanding of the structural and chemical changes occurring due to PEF processing. This review critically discusses current knowledge of the impact of PEF treatment on the functional properties of milk, namely, the physicochemical changes of milk components, changes in technological properties, shelf-life, and sensory and nutritional properties.