The filling in key lime pie is yellow, mostly because of the egg yolks. When it is being mixed, the condensed milk and the acidic lime juice react and make the filling become thick. Many early recipes for key lime pie did not tell the cook to bake the pie because they used this reaction to make the filling thick. Today, because of food safety, the pies are often baked for a short time. The baking thickens the filling even more.