Milk allergy is an adverse immune response to proteins found in cow's milk. When a person has a milk allergy, their immune system mistakenly recognizes these proteins as foreign substances and produces antibodies against them. This can cause a range of symptoms from mild to severe, including skin rashes, digestive problems, respiratory issues or even anaphylaxis in extreme cases. A milk allergy is different than lactose intolerance as it involves the immune system while lactose intolerance is a problem with digestion of lactose sugar.