Currently, there is a need to explore the effects of different types of protein-anthocyanin complexations, as well as the possible changes in the nutrition and allergenicity of the formed complexes. Here, we systematically investigated the covalent and non-covalent interactions between cyanidin-3-O-glucoside (C3G) and two major milk proteins, α-casein (α-CN) and β-lactoglobulin (β-LG). Fluorescence quenching data showed that, under non-covalent conditions, C3G quenched the fluorescence of the two proteins via a static process, with the interaction forces being revealed; for covalent products, decreased fluorescence intensities were observed with red shifts in the λmax. Multiple spectroscopic analyses implied that C3G-addition induced protein structural unfolding through transitions between the random coil and ordered secondary components. With a two-stage simulated gastrointestinal (GI) digestion model, it was seen that covalent complexes, not their non-covalent counterparts, showed reduced protein digestibility, ascribed to structural changes resulting in the unavailability of enzyme cleaving sites. The GI digests displayed prominent 2,2'-azinobis(3-ethylbenzothiazoline-6-sulfonic acid) radical cation-scavenging abilities (3.8-11.1 mM Trolox equivalents per mL digest), in contrast to the markedly reduced 1,1-diphenyl-2-picrylhydrazyl radical-scavenging capacities. Additionally, covalent protein-C3G complexes, but not their non-covalent counterparts, showed lower IgE-binding levels in comparison to the native control. This study provides new understanding for the development of anthocyanin-milk protein systems as functional ingredients with health-beneficial properties.