Thinly slice your carrots - use a mandolin if you have one.
Place the carrots and milk in a saucepan and bring to a gentle boil over medium-high heat. Remove from heat and let steep for 5 minutes.
Pour the milk and carrots into the blender and place in the fridge for up to an hour.
Peel a banana and place it in a bowl or bag in the freezer while the milk mixture is cooling.
Once the milk mixture is cold enough to be a pleasant drinking temperature, add the banana and puree until the carrots are completely blended in and the milkshake has a frothy texture, about 1 minute.