Lactoferrin (LF) is a heat-sensitive, iron-binding globular glycoprotein. Glycosylation and glycation can significantly alter its three-dimensional structure, spatial conformation, and functional properties, thereby affecting its thermal stability. This study compared the thermal stability of glycosylated LF from caprine colostrum (CLF) and mature milk (MLF) with that of glycated LF from lactosylated LF (LFL). During the heating process, both CLF and MLF exhibited heat-induced aggregation in SDS-PAGE, the holo-peak of CLF was higher than that of MLF after heat treatment, and the thermal transition temperature of CLF (95 °C) was higher than that of MLF (85 °C), suggesting glycosylation plays a role in the heat stability of LF. Compared to MLF, LFL exhibited less thermal aggregation and greater retention of secondary structure. In addition, the LFL showed more rod-shaped proteins in SEM, indicating that the LFL had improved thermal stability. This study reveals the potential effects of glycosylation and glycation in enhancing the thermal stability of LF.