This study assessed the effect of access to pasture, lactation number, and foals’ sex on the nutritional value of milk (79 samples) from nine mares. The following were analysed: content of dry matter, protein, fat, lactose, and ash; percentages of α-lactalbumin (α-La), β-lactoglobulin (β-Lg), serum albumin (SA), immunoglobulins (Ig), lactoferrin (Lf), and lysozyme (Lz) in the total protein; and the fatty acid profile. Mares without access to pastures were shown to produce milk with a higher dry matter content, including fat, lactose, and ash; higher percentages of β-Lg, α-La, Ig, and Lf; and a better fatty acid profile. The milk from mares with access to pasture contained more protein, including higher percentages of SA and Lz. Milk from mares in lactations 4–6 had the highest fat and protein concentrations and the lowest lactose concentration. The α-La level was highest in lactation 1, Lf in lactations 2–3, and Lz in lactations 4–6. Milk from mares in lactations 4–6 had the best fatty acid profile (the lowest concentration of saturated fatty acids (SFAs) and the highest concentration of monounsaturated fatty acids(MUFA) and polyunsaturated fatty acids (PUFA)). Milk from mothers of female offspring had higher dry matter, fat, and protein concentrations, a higher share of lysozyme, and a better fatty acid profile.