A method based on the ultra-high-performance liquid chromatography tandem mass spectrometry for determination of the residues of sex hormones, glucocorticoids, and sedatives in milk powder was developed. The sample was extracted with the acetic acid-acetonitrile (1:99, v/v) twice, purified by the PRiME hydrophilic-lipophilic balance (HLB) cartridges and analyzed by the ultra-high-performance liquid chromatography-tandem mass spectrometry. The analytes were separated by the Waters Acquity UPLC™ BEH C18 column (50 mm × 2.1 mm, 1.7 μm) and determined using the electrospray ionization in the positive mode with the multiple reaction monitoring (MRM). The developed method was validated with the specificity, linearity and range, matrix effects, recovery, and precision. The results showed that the analytes were linear with the correlation of determinations (R2) higher than 0.991 in the corresponding ranges. The limits of detection (LODs) and limits of quantification (LOQs) were in the range of 0.1–1.1 μg kg−1 and 0.3–3.8 μg kg−1, respectively. The average recoveries of the analytes ranged from 78.5 to 107.0% with the relative standard deviations lower than 15%. The practical applicability was tested by analyzing real samples and the progesterone was observed in two samples.