Milk is considered as the most important source of natural bioactive components. Over the past few decades, major advances and developments have been achieved on the science, technology and commercial applications of bioactive components which are present naturally in the milk. The aim of this study was to give a general overview on bioactive components found in milk and what valuable health effects they might have. In this paper specific bioactive proteins (lactoferrin, α-lactalbumin, β-lactoglobulin, glycomacropeptide, and immunoglobulin), oligosaccharides and conjugated linoleic acid will be overviewed. The studies show that these bioactive components exhibit antimicrobial effect, anticarcinogenic properties, ACE-inhibitory activity, anti-hypertension properties, effects on the cholesterol levels etc. Among those bioactive constituents in milk, bioactive peptides (BPs) are the most studied components in this regard. BPs have been defined as specific protein fragments that have a positive influence on physiological and metabolic functions or condition of the body and may have ultimate beneficial effects on human health. BPs can be delivered to the consumers in conventional foods, dietary supplements, functional foods, or medical foods. Although bioactive components in milk is a well studied area there is a lack of human clinical trials and epidemiological studies to draw conclusions regarding health benefits in humans. However, the development of functional foods with health properties is a market that is expanding and will continue to do so in the coming future. Through the knowledge and understanding how these components function, new health promoted products can be developed.