What exactly is coconut milk, and how is it made? Coconut milk isn’t actually “milk” at all (in the sense that you normally think of it) — it’s a liquid naturally found inside of mature coconuts, stored within coconut “meat.” When you crack open a fresh coconut, the milky white substance that leaks out is natural coconut water, but when you blend coconut meat and then strain it, the result in a thicker coconut “milk.”