Understanding the changes in milk at a nanostructural level during high-pressure (HP) treatment can provide new insights to improve the safety and functionality of dairy products. In this study, modifications of milk nanostructure during HP were studied in situ by small-angle X-ray scattering (SAXS). Skimmed milk was pressurized to 200 or 400 MPa at 25, 40 or 60 °C and held for 5 or 10 min, and the effect of single- and double-HP treatment was also investigated. In most cases, the SAXS patterns of skimmed milk are well fitted with a three-population model: a low-q micellar feature reflecting the overall micelle size (~0.002 Å⁻¹), a small casein cluster contribution at intermediate-q (around 0.01 Å⁻¹) and a high-q (0.08–0.1 Å⁻¹) population of milk protein inhomogeneities. However, at 60 °C a scattering feature of colloidal calcium phosphate (CCP) which is normally only seen with neutron scattering, was observed at 0.035 Å⁻¹. By varying the pressure, temperature, holding and depressurization times, as well as performing cycled pressure treatment, we followed the dynamic structural changes in the skimmed milk protein structure at different length scales, which depending on the processing conditions, were irreversible or reversible within the timescales investigated. Pressure and temperature of the HP process have major effects, not only on size of casein micelles, but also on “protein inhomogeneities” within their internal structure. Under HP, increasing processing time at 200 MPa induced re-association of the micelles, however, the changes in the internal structure were more pressure-dependent than time dependent.