Abstract Lipids are secreted in milk in the form of unique colloidal assemblies, the milk fat globules, which are surrounded by a biological membrane, the milk fat globule membrane (MFGM). Recent confocal laser scanning microscopy experiments showed heterogeneities in the composition and structure of the MFGM. For the first time, we revealed the phase separation of polar lipids in the plane of the MFGM with the lateral segregation of sphingomyelin and cholesterol in rigid liquid‐ordered (L o ) domains surrounded by the fluid matrix of glycerophospholipids in the liquid‐disordered (L d ) phase. The MFGM is a unique and highly dynamic biophysical system, the functional and nutritional properties of which need to be further studied for health benefits.