In this study, the whey and milk fat globule membrane (MFGM) proteomes of buffalo, cow, goat, and yak milk were analyzed using label-free proteomic technology. Totally, 1,292 MFGM proteins and 686 whey proteins were identified from these four species, and GO analysis revealed there were specific proteins with different functions in both whey (376) and MFGM (982) proteomes. The principal component analysis showed that ALB, TF, CSN1S1, and GLYCAM1 are characteristic markers of the milk for each of the four species. Furthermore, the conserved and differential in the expression of whey and MFGM proteins across the four species were identified by limma, and subsequent KEGG pathway analysis showed that immune-related proteins are both conserved and species-specific in the four species. These results provide a deepening of the understanding of the characteristics of proteins in whey and MFGMs from these four common dairy animals and new insight into developing dairy production.