High pressure processing (HPP) is a state-of-the-art food preservation method that can be applied to many types of food items, including fish products. HPP has been found to affect fish protein conformation, with potentially positive effects on protein digestibility, but detrimental effects on sensory quality. In this study, cold and hot smoked rainbow trout samples (CSRT and HSRT, respectively) were treated with 200, 400, and 600 MPa at 4 °C for 3 min and tested for solubility of proteins (SP) and water holding capacity (WHC). Level of proteolysis (LP) was tested in an in vitro digestion model. A consumer panel evaluated sensory properties with the Rate-All-That-Apply method. Treatment at 200 MPa positively affected LP in HSRT, while SP and WHC were reduced in CSRT with increasing pressure. HPP also significantly affected texture, appearance, and appeal, especially of CSRT samples. Reduction in SP and WHC contributed to colour changes in CSRT treated with 600 MPa. It was concluded that HPP had more pronounced effects on physicochemical and sensory properties of CSRT than HSRT. The results highlight the importance of optimising the HPP parameters for each product type, in order to minimise the potentially negative effects on protein-related properties and sensory quality.