This study was conducted to investigate the thermal stability of water-soluble and fat-soluble vitamins dissolved in water and milk by various heat treatments. Vitamin samples were prepared by dissolving them in water and milk at various concentrations, and were heat treated for 30 min at 65$^{C}$, 15 sec at 85$^{C}$, 5 sec at 100$^{C}$, 121$^{C}$ at 15 min, the levels of residual vitamin were measured by using HPLC. Milk samples were fortified with vitamins before and after UHT treatment. As heating over 100$^{C}$, riboflavin in water were destructed more than 92% but fortified in milk showed less than 20% destruction, suggesting that riboflavin was protected by milk components. Also retinol heated ever 100$^{C}$ was more stable in milk than in water. L-Ascorbic acid and cholecalciferol(D$_3$) showed a similar destruction rate in water and in fortified milk. L-ascorbic acid was easily destructed by UHT treatment. Destruction of thiamin and tocopherol was increased in fortified milk. Among tour capsulated water-soluble vitamins, L-ascorbic acid was much more stable compared with powder form. Nicotinic acid and folic acid either in capsule or powder form showed a slight destruction by heat treatment. The results suggested that the fortification of unstable vitamins such as L-ascorbic acid, thiamin, tocopherol and cholecalciferol(D$_3$) should be made in milk after heat treatment.