The early lactation period of dairy cows, which produce high quantities of milk, is normally characterized by an insufficient energy intake to cover milk production and maintenance requirements. Mobilization of body reserves occurs to compensate this negative energy balance (NEB), and probably as a consequence there is a higher susceptibility to diseases and metabolic disorders. There are several diagnostic methods to detect NEB, usually involving ketosis related parameters. Due to the easy availability of milk this is a preferred matrix, but simple and robust predictors of NEB level are missing. To better understand the physiological mechanism of NEB, milk of cows subjected to different dry period lengths, in different energy balance status and lactation stage, were analyzed by untargeted metabolomics and proteomics techniques. Milk of cows in severe NEB showed higher concentrations of acute phase response proteins, unsaturated fatty acids, and galactose-1-phosphate. Improved energy balance (EB) resulted in higher concentration of cholesterol, cholesterol synthesis related proteins, and stomatin. The presence of stomatin and galactose-1-phosphate in milk was strongly dependent on the EB of the cows. These novel and interesting findings warrant more in-depth research to assess their applicability as robust indicators of NEB in milk and to clarify the role of stomatin and galactose-1-phophate in milk of dairy cows in NEB.