Heat treatment of concentrated milk systems for preservation and long shelf life or at least a sufficient removal of food pathogens prior to spray drying is a crucial step due to the decreasing stability of these systems toward heat compared to unconcentrated milk. Heat-induced coagulation is observed when temperature-time combinations for the achievement of certain microbial inactivation effects are higher than the heat and colloidal stability of the concentrated milk system allows. In this work, the effects of direct steam injection on the stability of casein micelles in concentrated skim milk (CSM) of 18, 23, and 27% total non-fat solids, heat-treated by direct steam injection (DSI), were investigated. Quantitative differential centrifugation for the separation of aggregates, casein micelles, dissociated submicellar particles, and soluble proteins and subsequent analysis of caseins and whey proteins within these fractions by RP-HPLC were applied. Quantitative separation was monitored by particle size measurements. The dissociation of κ-casein as well as an increase in casein micelle hydrodynamic radius were observed to increase with increasing total solid content of CSM, heat treatment time, and temperature. Heat-induced dissociation of β-Lg-κ-casein complexes at a critical level of 30–35% was found to induce severe coagulation of κ-casein-depleted calcium-sensitive casein micelles in CSM heated by DSI. Dissociated and aggregated proteins were found to be present as distinct colloidal particle classes differing in size from casein micelles.