The effects of high intensity pulsed electric field (HIPEF) treatments at room or moderate temperature on water-soluble (thiamine, riboflavin, ascorbic acid) and fat-soluble vitamins (cholecalciferol and tocopherol) were evaluated and compared with conventional thermal treatments. Vitamin retention was determined in two different substrates, milk and simulated skim milk ultrafiltrate (SMUF). Samples were subjected to HIPEF treatments of up to 400 μs at field strengths from 18·3 to 27·1 kV/cm and to heat treatments of up to 60 min at temperatures from 50 to 90 °C. No changes in vitamin content were observed after HIPEF or thermal treatments except for ascorbic acid. Milk retained more ascorbic acid after a 400 μs-treatment at 22·6 kV/cm (93·4%) than after low (63 °C-30 min; 49·7% retained) or high (75 °C-15 s; 86·7% retained) heat pasteurisation treatments. Retention of ascorbic acid fitted a first-order kinetic model for both HIPEF and thermal processes. First-order constant values varied from 1·8×10−4 to 1·27×10−3 μs−1 for the HIPEF treatments (18·3–27·1 kV/cm) and, for thermal processing ranged from 5×10−3 to 8×10−2 min−1 (50–90 °C). No significant differences were found between the results obtained after applying HIPEF treatments at room or moderate temperature. However, results depended on the treatment media. A beneficial effect of natural skim milk components, mainly proteins, was observed on the preservation of ascorbic acid, since skim milk retained more ascorbic acid than SMUF after HIPEF treatments.