Milk powders are nowadays high added-value goods, whose demand continuously increases driven by the world population growth and the globalization. The specificity of dairy powder end-users, as in the case of infant formulas and supplements for athletes, implicates a tight control of their functional and nutritional properties. This crucial question is still far from being resolved since the most employed technique for powder production, i.e., the spray drying, does not favor a direct insight into the mechanisms governing the droplet sol-gel transition at the industrial scale. Over the past decade, we implemented a multiscale approach to investigate the drying dynamics in mixes of dairy proteins (i.e., whey proteins and casein micelles), which represent fundamental components of milk. Coupling complementary techniques (e.g., profile visualization, microscopy, mass measurements), the evaporation steps have been characterized first in droplets of single proteins and then in mixes. Our outcomes revealed that the intrinsic signature of whey protein and casein micelle molecular characteristics on the structure of the so-called skin, leading to the formation of smooth and hollow dry particles in the first case and wrinkled ones in the latter. Interestingly, the study of protein mixes highlighted a behavior typical of polydisperse colloidal systems, consisting of the gradual accumulation of the smaller macromolecules, i.e., the whey proteins here, at the surface (small-on-top). Under certain experimental conditions, this auto-stratification conferred to whey proteins a predominant impact on dry particle shape. Surprisingly, these results have been confirmed also by tests performed using pilot monodisperse dryer despite the significantly different drying time scale. Next studies will focus on more complex dairy systems to further shed light on milk drying process and possibly provide a predictive method for tuning powder functional properties starting from sample composition and environmental conditions.