The physicochemical properties of human milk fat globules (MFG) at different lactation stages from Danish mothers and the microstructure changes of MFG membrane (MFGM) at varied temperatures were investigated, and the relationship between chemical composition and the microstructure of MFGM was elucidated. The fat content in MFG was found to be significantly increased as lactation progressed, and colostrum MFG had the largest mean diameter of 5.75 ± 0.81 μm and the lowest ζ potential of -5.60 ± 0.12 mV. Chemical composition analyses of MFG revealed the following: (i) Colostrum milk fat constituted higher content in PUFAs (ω-6, and long-chain ω-6 and ω-3) than transitional and mature milk fats, with the corresponding lower content of SFA in its sn-2 position. (ii) The content of polar lipids among total lipids varied during lactation course (maximized at transitional stage); however, in terms of subclasses of polar lipids, no significant change of the relative content of sphingomyelin was observed, while the content of phosphatidycholine in mature milk was higher than that in colostrum and transitional milk. (iii) Inspection of fatty acid composition in phospholipids from different lactation milk revealed no remarkable and regular changes could be generalized; and no obvious difference of the morphologies of MFGM at different lactation stages can be visualized. An investigation of the microstructure change of MFGM vs temperature demonstrated that the segregated domains became larger as temperature decreased to 4 °C, while it became smaller when increased to 37 °C. This phenomenon indicated that, in addition to sphingimyelin and cholesterol, phospholipids might also contribute to increasing the segregated domains at lower temperature, while, at elevated temperature, these domains could be diminished, most likely due to a restructuring or distributing of sphingimyelin and cholesterol.