The milk fat globule membrane (MFGM) appears to play an important role in infant neurocognitive development; however, its mechanism(s) of action remains unclear. This study aimed to investigate the role of a dietary MFGM supplement on the lipid profiles of different neonatal brain regions. Ten-day-old male piglets (4–5 kg) were fed unsupplemented infant formula (control, n = 7) or an infant formula supplemented with low (4%) or high (8%) levels of MFGM (n = 8 each) daily for 21 days. Piglets were then euthanized, and brain tissues were sectioned. Untargeted liquid chromatography-mass spectrometry lipidomics was performed on the cerebellum, hippocampus, prefrontal cortex, and the rest of the brain. The analyses identified 271 and 171 lipids using positive and negative ionization modes, respectively, spanning 16 different lipid classes. MFGM consumption did not significantly alter the lipidome in most brain regions, regardless of dose, compared to the control infant formula. However, 16 triacylglyceride species were increased in the hippocampus (t-test, p-value p-value < 0.05) independent of diet. Thus, this study highlighted that dietary MFGM altered lipid abundance in the hippocampus and detected large differences in lipid profiles between neonatal piglet brain regions.