Material segregation has been reported for industrial spray-dried milk powders, which indicates potential material migration during drying process. The relevant colloidal transport phenomenon and the underlying mechanism are still under debate. This study extended the glass-filament single droplet drying technique to observe not only the drying behaviour but also the dissolution behaviour of the correspondingly dried single particle. At progressively longer drying stage, a solvent droplet (water or ethanol) was attached to the semi-dried milk particle and the interaction between the solvent and the particle was video-recorded. Based on the different dissolution and wetting behaviours observed, material migration during milk drying was studied. Fresh skim milk and fresh whole milk were investigated using water and ethanol as solvents. Fat started to accumulate on the surface as soon as drying was started. At the initial stage of drying, the fat layer remained thin and the solubility of the semi-dried milk particle was much affected by lactose and protein present underneath the fat layer. Fat kept accumulating at the surface as drying progressed and the accumulation was completed by the middle stage of drying. The results from drying of model milk materials (pure sodium caseinate solution and lactose/sodium caseinate mixed solution) supported the colloidal transport phenomena observed for the milk drying. When mixed with lactose, sodium caseinate did not form an apparent solvent-resistant protein shell during drying. The extended technique of glass-filament single droplet approach provides a powerful tool in examining the solubility of individual particle after drying.