As an important nutrient source in large areas of the world, goat milk is favored by more and more consumers; however, the composition, nutritional value, and regulation mechanism of goat milk are not fully characterized. Mammary gland development is as important as detailed annotation of protein composition to address the physiological and nutritional values of goat milk. In the present study, 4353 colostrum and mature goat milk proteins were identified. The abundance of 118 proteins was significantly different between colostrum and mature milk proteins. Our results indicate that the milk protein changes were associated with a network of mammary gene expression changes; importantly, the prime factors include enhanced mammary growth/development, decreased protein translation, attenuated protein folding, and lower lip/carbohydrate metabolism. The present study provides insights into the changes in mammary metabolisms during the transition from colostrum to mature milk, which can help deeply explore the difference and regulation mechanism of active milk protein in colostrum and mature milk and provide references for the identification and functional study of bioactive milk proteins in colostrum.