The impact of membrane concentration with different milieu exchange conditions on the structural changes of casein micelles was investigated by studying their dissociation as well as their internal structure using small-angle X-ray scattering (SAXS). Micellar casein concentrates were prepared using ultrafiltration of milk (< 10 °C) followed by microfiltration and diafiltration (DF) of the resulting 2 × milk protein concentrate (< 10 °C) using different DF media (demineralised water vs. ultrafiltration permeate) and DF modes (continuous at 2 × concentration vs. discontinuous at 4 × concentration). All concentrates showed a higher degree of casein micelle dissociation when DF was conducted with water compared to ultrafiltration permeate. SAXS data were evaluated using a model describing the scattering on an absolute scale, and using protein and mineral concentrations as constraints. The results showed changes in the internal structure of the casein micelles at intermediate length scales for the concentrates prepared using water as DF medium, linked to the partial dissociation of caseins from the colloidal phase to the dispersion phase. In contrast, the casein micelles, in spite of their concentrated state, retained their structural integrity better when DF was conducted with ultrafiltration permeate. These results clearly demonstrate that maintaining the ionic equilibrium during membrane filtration of skim milk is critical to preserve the original structure of the protein particles in skim milk. This has important consequences in developing processes aiming at tailoring the technological properties of micellar casein concentrates.