High pressure processing (HPP) could be an alternative to Holder Pasteurisation (HoP, 62.5 °C for 30 min) for breast milk preservation in human milk banks. The effect of HPP (at 400 or 600 MPa for 3 or 6 min) was compared with that of HoP. The effect of processing on the immune cells (leukocyte content) and immunoglobulins (IgM, IgA and IgG) was evaluated. Treatment at 400 MPa (for 3 or 6 min) maintained the original levels of immunoglobulins (IgM, IgA and IgG) of breast milk better than HoP. In contrast, at 600 MPa the reduction of the original immunoglobulins levels was similar to that following HoP. HPP and HoP destroyed most leukocytes in breast milk; the percentage of retention of leukocytes after processing was between 4 and 14%. Overall, HPP could be a suitable alternative for the preservation of immunoglobulins in human milk.