Donkey milk has been widely shown to be an ideal substitute for human milk because of its similar composition. However, alterations to the composition of donkey milk during lactation have not been well studied. In this study, untargeted metabolomics with ultra-high-performance liquid tandem chromatography quadrupole time-of-flight mass spectrometry were used to analyze and compare the metabolites in donkey colostrum (DC) and mature milk (DMM). Two hundred seventy metabolites were characterized in both DC and DMM. Fifty-two of the metabolites in the DC were significantly different from those in the DMM; 8 were downregulated and 44 were upregulated. This demonstrated that the composition of the donkey milk changed with lactation. Additionally, the interactions and metabolic pathways were further analyzed to explore the mechanisms that altered the milk during lactation. Our results provide comprehensive insights into the alterations in donkey milk during lactation. The results will aid in future investigations into the nutrition of donkey milk and provide practical information for the dairy industry.