The Best Authentic Tres Leches Cake Recipe from The Food Charlatan. If you have never had Tres Leches Cake, you are in for a treat! A fluffy white sheet cake, poked with holes and soaked in a mixture of coconut milk, sweetened condensed milk, and evaporated milk (tres leches means 3 milks!) The resulting cake is irresistibly moist. Perfect for Cinco de Mayo!