•An UPLC–MS/MS method was established to determinate multi-mycotoxin in milk.•The optimal solid phase extraction (SPE) cartridge was selected at 0.025μgkg−1.•The optimal SPE conditions were screened.•The matrix effects of different milk matrixes were evaluated and compensated. In this study, a sensitive and rapid method has been developed for the simultaneous determination of aflatoxin M1, ochratoxin A, zearalenone and α-zearalenol in milk by ultra high performance liquid chromatography combined with electrospray ionisation triple quadrupole tandem mass spectrometry (UHPLC–ESI–MS/MS). The milk samples were purified using Oasis HLB cartridge. The matrix effects were evaluated by determining the signal suppression–enhancement (SSE) and corrected by external matrix-matched calibration. The limits of quantity (LOQ) of the mycotoxins were in the range of 0.003–0.015μgkg−1. The high correlation coefficients (R2⩾0.996) were obtained in the range of 0.01–1.00μgkg−1 of the mycotoxins, along with good recovery (87.0–109%), repeatability (3.4–9.9%) and intra-laboratory reproducibility (4.0–9.9%) at the concentrations of 0.025, 0.1 and 0.5μgkg−1. The detected rates of the mycotoxins were from 16.7% to 96.7% in raw milk, liquid milk and milk powder samples collected from the dairy farms and supermarkets in Beijing. The method proposed is suitable for the simultaneous determination of aflatoxin M1, ochratoxin A, zearalenone, and α-zearalenol, and could be performed for analysing the mycotoxins in milk.