Spatial (horizontal) price transmission analysis provides specific evidence as to the competitiveness of markets, the effectiveness of arbitrage and the pricing efficiency. The paper investigates spatial price transmission and market integration in the Russian Federal Districts using monthly milk prices within the period 2000-2018. Using Hansen-Seo technique, threshold effects have been found and threshold vector error correction model with two regimes has been estimated for three markets. Market integration analysis revealed a long-run relationship for all the price pairs in the milk markets. The linear VECM analysis showed a rather low degree of integration, especially for the Southern Federal District milk market. Compared to VECM, the TVECM estimation provided different findings depending on regimes and markets.