The effects of pasteurisation, high-pressure (HP), and a combination of pasteurisation and high-pressure (PHP) on the physicochemical properties and protein structure of caprine skim milk was investigated. Samples treated by PHP generally had a higher pH, whey protein denaturation, surface hydrophobicity, and intrinsic fluorescence than those treated only with heat or pressure. In contrast, the size of skim milk casein micelles decreased significantly with an increase in pressure level and time; however, the effect was less marked when heat and pressure treatments were combined. For the PHP and HP samples, as the level and time of pressure increased, the α-helix and β-turn content reduced, whereas β-sheet and random coil were induced. Thus, PHP treatment could be used as a good alternative technology in the dairy industry to promote the functional properties of skim caprine milk.