The flavour of fresh milk is due to the combined effect of a great number of compounds from diverse origins. This flavour may change when milk is submitted to thermal treatments. The kind and intensity of the heated milk flavour depends on the intensity of the thermal treatment. The heating of milk causes the formation of volatile compounds from milk proteins, carbohydrates and lipids, as well as from some other compounds. From milk proteins some compounds are originated via the release of sulphidryl compounds during the heat denaturation of the whey proteins and proteins in the milk fat globule membrane; other compounds are formed via the non-enzymatic browning reaction. The heating of milk produces the formation of some methyl ketones. lactones and aldehydes from milk fat. The formation of the volatile compounds, responsible for flavour of heated milk, during the heat treatment of milk has been reviewed in this work.