The oxidized flavor could affect the sensory acceptability of consumers. In this study, the oxidized flavor compound (OFC) in different heated milk was analyzed using the solid phase microextraction–gas chromatography–mass spectrometry (SPME–GC–MS). The concentration of OFC increased with increasing the intensity of heat treatment. The concentrations of heptanal, nonanal, 2‐heptanone, and 2‐nonanone in the heated milk samples were in the range of 1.88–5.51, 1.03–3.26, 6.89–88.04, and 1.46–12.78 μg/kg, respectively. The correlation coefficients between the OFC and the heat intensity were above 0.86. It was found that the intensity of heat treatment (below 80°C for 10 min) could not cause the significant changes in the distribution of fat globules. The contents of partial proteins in milk fat globule membrane gradually destructed with increasing the intensity of heat treatment. The DPPH˙ scavenging activity reduced by 23.15%, and the peroxide value (POV) increased by 37.23% as raw milk was heated at 90°C for 20 min. Values of thiobarbituric acid reactive substances (TBARS) had a tendency to increase as the heated time was operated for 20 min (p < 0.05). It indicated the heat treatment could change the oxidative environment of milk and influence the distribution of milk fat and the formation of oxidized flavor compounds.