Simple Summary: In recent decades, interest in the use of donkey milk for human nutrition has increased, since it may represent a natural substitute for cow's milk for children affected by milk protein allergies. The functional peculiarities of donkey milk are mainly linked to its casein content comparable to that of human milk. This study provides a thorough analysis of transcript isoforms generated by two αs2-casein-encoding genes (CSN1S2 I and CSN1S2 II) in donkeys and a detection of significant genetic diversity at both loci along with sequence comparisons across species. In particular, a key mutation affecting exon 17 splicing in CSN1S2 I was identified, and a genotyping method was developed. These data represent an important step in the understanding of the expression regulation of these genes in donkeys and a useful tool for the genetic improvement of donkey milk production that fulfils special consumer requirements. The αs2-casein is a phosphoprotein secreted in the milk of most mammals, and it is the most hydrophilic of all caseins. Contrary to genes found in ruminants, in donkeys two different encoding genes for donkey αs2-casein (CSN1S2 I and CSN1S2 II) have been identified. However, unlike in ruminants, the variability at these loci has not been characterized in detail in donkeys until now. In this study, we analyze the transcript profile of the donkey CSN1S2 I and CSN1S2 II genes, and we identify and describe the variability of these loci in the Ragusana and Amiatina breeds reared in Italy. The analysis of the CSN1S2 I Reverse Transcriptase-Polymerase Chain Reaction (RT-PCR) products and subsequent sequencing showed, in addition to correctly spliced mRNA, seven other minor mRNAs resulting from differential splicing events involving, in various combinations, entire exons (4, 5, 6, and 11), parts of exons (5′ or 3′ end of exon 17), or the recognition of intronic sequences as an exon (exon 12′). Similarly, the transcription analysis of the CSN1S2 II gene revealed a remarkable variability in splicing events, mainly concerning the alternative insertion of an extra exon 7 (named 7′); the first 33 bp of exon 13; or the alternative skipping of exons 9, 10, 11, 12, and 15, and their combinations. At the mRNA level for CSN1S2 I, seven SNPs were observed, five of which led to amino acid changes: p.T73>A, p.I109>V, p.I130>V, p.I146>T, and p.D217>Y. Similarly, nine SNPs were observed at the CSN1S2 II locus, seven of which are non-synonymous: p.L63>F, p.H70>Q, p.D90>N, p.129A>T, p.H131>Y, p.E144>G, and p.F157>S. In addition, the DNA sequencing of exon 17 and flanking introns of the CSN1S2 I gene revealed a G>A transition at the splice acceptor site of CSN1S2 I exon 17 (FM946022.1:c.375-1G>A), resulting in an allele-specific skipping of the first 15 nucleotides of this exon, which encode the peptide 176NKINQ180, and the recognition of an in-frame cryptic splicing acceptor site: arAACAAAATCAACCAG. A genotyping method based on restriction fragment length polymorphism (XbaI PCR-RFLP) was set up for this SNP. In the total population studied (105 Ragusana and 14 Amiatina donkeys), the A allele had a frequency of 0.2437 with no evidence of deviation from the Hardy–Weinberg equilibrium. This study adds new knowledge regarding the genetic variability of αs2-caseins in donkeys and may contribute significantly to the genetic improvement of milk production for this species. [ABSTRACT FROM AUTHOR]