Prices fell 2 percent in the latest Global Dairy Trade auction overnight.
The drop came after three consecutive price increases in previous auctions.
The average price of commodities was US$3096 per metric tonne (MT), down from US$3159/MT in the previous auction.
Skim milk powder took the biggest fall, dropping 4.4 percent to US$2722/MT, while anhydrous milk fat was down 2.6 percent to US$4002/MT.
Whole milk powder, the most important commodity for New Zealand dairy farmers, was down 2 percent to US$2985/MT, while cheddar dropped 0.8 percent to US$3786.
Butter prices had the biggest lift, rising 3.9 percent to US$3822/MT, while butter milk powder was up 1.2 percent to US$2617/MT.
NZX described the overall drop as a "price corrective result, with buyers not motivated to keep prices at previous levels".
ASB economist Nat Keall, in the bank's weekly commodities report, said "the decline in the overall index will have surprised markets a little, with futures having pegged an increase in the index".
Volumes at the auction remained "stubbornly down on year-ago levels", Keall said.
Last month Fonterra increased its forecast farmgate milk price, raising its midpoint for the 2020/21 season price range to $6.80 per kilogram of solids, up from $6.40 per kgMS.