Heat treatment affects the molecular structure of milk proteins at the interfaces of oil-in-water emulsions and in aqueous media. Experimental evidence of the impact of thermal processing on milk protein structure is presented and the contribution of whey proteins and caseins at film formation during emulsification is discussed. Recent advances in understanding the effect of heat treatment in milk protein functionality at emulsion interfaces are reviewed with particular emphasis on the emulsifying ability of whey proteins with or without the presence of the casein fraction. The major findings regarding the destabilizing mechanisms of oil-in-water emulsions brought about by heat-induced denaturation of milk proteins are presented. This paper aims to combine recent knowledge on how thermal processing of milk proteins affects their molecular configurations in bulk and particularly at interfaces, which in turn appear to be important with respect to the physico-chemical properties of milk protein-stabilized emulsions.