Lipid hydrolysis process during IF digestion, particularly the characterization of the lipidome and the resulting lipid breakdown products, has not been thoroughly investigated. This study aimed to compare the lipid hydrolysis profiles during the in vitro dynamic digestion of IFs made from whole sheep and goat milk. Using a lipidomics platform and multivariate statistical analysis, we observed changes in complex lipid levels during digestion. In the gastric compartment, we noted a progressive hydrolysis of triacylglycerols, phosphatidylcholines, and sphingomyelins. Conversely, lipolysis breakdown products like monoacylglycerols (e.g., MG(16:0), MG(18:0)), diacylglycerols, lysophosphatidylcholines (LPC 16:0, LPC 18:1, LPC 18:2), and free fatty acids increased in the intestinal compartment. The lipolysis trends were similar for both types of infant formulas, with long-chain fatty acid triglycerides (C > 46) exhibiting lower digestibility compared to medium-chain fatty acid triglycerides. Overall, these results indicate that sheep milk can be used as an ingredient in the manufacturing of IF.