Milk is the most complete food for mammals, as it supplies all the energy and nutrients needed for the proper growth and development of the neonate. Milk is a source of many bioactive components, which not only help meeting the nutritional requirements of the consumers, but also play a relevant role in preventing various disorders. Milk-derived proteins and peptides have the potential to act as coadjuvants in conventional therapies, addressing cardiovascular diseases, metabolic disorders, intestinal health, and chemopreventive properties. In addition to being a source of proteins and peptides, milk contains complex oligosaccharides that possess important functions related to the newborn's development and health. Some of the health benefits attributed to milk oligosaccharides include prebiotic probifidogenic effects, antiadherence of pathogenic bacteria, and immunomodulation. This review focuses on recent findings demonstrating the biological activities of milk peptides, proteins, and oligosaccharides towards the prevention of diseases of the 21st century. Processing challenges hindering large-scale production and commercialization of those bioactive compounds have been also addressed.