Piglet formula is an important substitute for piglets when sow milk is unavailable. Triacylglycerols (TAGs) are the major components of sow milk and formulas. Lipolysis of TAGs in sow milk and five piglet formulas, mainly PF1 containing high similarity of sow milk fat substitute, PF2 containing coconut oil, and PF3-PF5 containing different amounts of 19.7%∼38.5% of medium chain fatty acids, was studied using in vitro dynamic gastrointestinal digestion system of piglets, and to elucidate the mechanism on digestive behaviors affected by different types of fats. The results showed that sow milk exhibited the largest particle size (4.22 μm) and the lowest absolute zeta-potential (12.8 mV) compared with formulas, contributing to its highest lipolysis degree (60.6%). It was followed by PF1 (56.2%), which had a similar fat composition to sow milk, especially the high content of sn-2 C16:0. Similarly, sow milk released the highest level of free fatty acids (56.9%, mainly long-chain species) after digestion, followed by PF1 (54.2%), and the other three formulas (33.8%–50.7%). The releases of diacylglycerides (e.g., L/L, P/L, P/O, O/O, and O/L) and monoacylglyceride-C16:0 were positively correlated with sn-2 C16:0 concentration, and the later will be re-esterified and reutilized for providing energy and essential fatty acids to piglets. It was indicated that the difference of fat digestive behaviors between sow milk and piglet formulas was associated to fat compositions and interfacial properties of their fat droplets. In this regard, digestion of fats for piglet formulas contributes to improving piglet health.