Ultra-high temperature treatment (UHT) is a common sterilization method for milk that can be classified as direct and indirect UHT. Direct UHT was not widely applied in the dairy industry due to the high cost. Recently, with higher requirements of nutrients and flavor of milk from consumers, direct UHT was re-concerned due to its high heating rate, short heating time, and low loss of flavor and nutrients. This study compared the effects of two direct UHT methods, steam infusion and steam injection on physio-chemical properties, native whey proteins content, and volatile compounds content of milk. The results showed that UHT milk treated by steam infusion had lower mean particle size, instability index, and viscosity, whereas higher levels of desaturated whey proteins, compared to that in UHT milk treated by steam injection. 59 volatile compounds in total were detected in UHT milk through two extraction methods as solid-phase microextraction arrow and solvent-assisted flavor evaporation combined with gas chromatography-mass spectrometry, of which 50 volatile compounds were detected in steam-injection-treated UHT milk and 52 volatile compounds were detected in steam-infusion-treated UHT milk. Steam-infusion-treated UHT milk had a lower proportion of ketones, aldehydes, and fatty acids, while a higher proportion of esters and alcohols compared to that in UHT milk treated with steam injection. Principal component analysis results showed that steam-injection-treated UHT milk and steam-infusion-treated UHT milk could be distinguished by volatile compounds, indicating that different direct UHT methods could influence the flavor of UHT milk. It was recommended that dairy companies select steam injection if they intend to produce UHT milk with a heavier milky flavor, while select steam infusion if they plan to produce UHT milk with less cooking flavor, less off-flavor, and higher physical stability during storage. The result of this study aimed to provide supporting data and theory reference for the dairy industry to choose proper sterilization methods and produce UHT milk with a longer shelf-life, higher levels of nutrients, and better flavor.