The growing demand for high-protein dairy products, driven by the expanding markets for infant formula and nutritional supplements, has led to a higher incorporation of milk protein ingredients like milk protein concentrate (MPC) and whey protein isolate (WPI) in dairy formulations. However, the effects of these protein additives on the thermal stability and sensory attributes of dairy products remain insufficiently studied. This research examines the influence of thermal processing (80 °C for 30 min) and protein fortification (MPC, WPI, and their combination) on the denaturation of whey proteins, the formation of volatile compounds, and the sensory characteristics of milk. Specifically, whole milk was fortified with MPC, WPI, and their combination at concentrations of 4% MPC, 4% WPI, and 2% MPC + 2% WPI, respectively, to evaluate the impact of different protein fortifications on these properties. Our findings reveal that heat treatment significantly promoted the denaturation of β-lactoglobulin and α-lactalbumin, with protein fortification playing a role in modulating these changes. Notably, lactoferrin exhibited matrix-dependent antioxidant behavior, meaning its antioxidant activity varied based on the protein composition and structure of the milk matrix, influencing its stability and function under different fortification conditions. Volatile profiling indicated that MPC enhanced the formation of sulfur-containing compounds and aldehydes, whereas WPI favored ketones and Maillard-derived volatiles. Sensory analysis revealed that heated WPI fortified samples exhibited stronger cooked and dairy fat aromas, while unfortified milk retained milky and grassy notes. Correlation analysis highlighted the mechanistic links between protein denaturation and lipid-derived compounds. These results emphasize that protein type and composition play crucial roles in flavor development. The strategic blending of MPC and WPI offers a practical approach to balancing volatile profiles and mitigating off-flavors, providing insights for the formulation of thermally stable, protein-fortified dairy products with optimized sensory quality.