As a powerful thermo-analytical technique, differential scanning calorimetry (DSC) was utilized to assess the response of the interactions between milk proteins and EGCG from a thermal stability perspective. Table 2 shows the DSC analyses of protein–EGCG complexes and control milk proteins. Upon covalent and non-covalent interactions with EGCG, there was an increase in Td for the proteins, which indicated improved thermal stability. As shown in Table 2, the covalent complexes had higher Td than the non-covalent complexes, which suggested better thermal stability of the covalent complexes. For all the covalent complexes, a decrease in ΔH was observed when compared with corresponding control proteins. Interestingly, this result revealed that the covalently modified milk proteins required less energy to unfold as they were thermally more stable. This may be attributed to the fact that chemical modification by EGCG might have partially unfolded the milk proteins, which can be conformed by the increase in the random coiled structure documented by far-UV CD analysis. Non-covalent LF–EGCG complex and SC–EGCG complex also exhibited a decrease in ΔH when compared with LF and SC, respectively. However, non-covalent LA–EGCG complex and LG–EGCG complex exhibited an increase in ΔH in comparison with control proteins, which suggested that they required more energy to unfold. This may be explained by the fact that unordered structures of LA and LG decreased after non-covalent interactions with EGCG.