Scald milk in a small saucepan over medium heat until it begins to bubble, about 3 minutes. Cool to lukewarm.

While milk is cooling, dissolve yeast in warm water in a bowl. Let stand until yeast softens and begins to form a creamy foam, about 5 minutes.

Transfer milk to the bowl of a stand mixer fitted with the dough attachment. Add brown sugar, melted shortening, molasses, and salt; mix until well combined. Mix in yeast mixture. Gradually mix in rye flour, then bread flour until combined; you may need to mix by hand if your stand mixer isn't large enough.

Transfer dough to a greased bowl and turn to coat the surface. Cover with a damp towel and let rise in a warm place until doubled in volume, about 1 hour.

Punch down dough and transfer to a lightly floured board. Knead until dough is elastic and does not stick to the board. Let rest for 5 minutes. Divide into thirds and shape into loaves. Place each loaf in a greased 9x5-inch loaf pan. Cover with a damp towel and let rise in a warm place until doubled in volume, 30 to 45 minutes.

Preheat the oven to 375 degrees F (190 degrees C).

Bake loaves in the preheated oven until golden brown on top, 35 to 40 minutes.