As the substitute of human milk in infant food, milk from cattle and small ruminants species has been studied extensively to address their nutritional value. In the last 20 yr, proteomics gave a great contribution in understanding the proteins component, including isoforms, post translational modification, interaction, functional properties, to evaluate casein fractions, whey fractions, and milk fat globule. The study of polymorphisms of caseins at the protein level are key characteristics to be specifically considered in the cheese-manufacturing industry. Different genotypes of α_S1-casein have been observed depending on species and breeds. These types have been associated with allergic processes and may affect digestibility, milk and cheese properties. Higher levels of some of the essential amino acids observed in goat milk may play an important role on the intestinal absorption. Lower size of fat globule in goat milk has been associated with higher digestibility. Regarding to immune variables, no differences in milk immunoglobulins (IgG and IgM) have been described when sheep and goat milk are compared with cow’s milk. Proteomics elucidated also some differences in proteins with immune function between cow, sheep and goat milk whey. The IgG heavy chain C region showed higher intensity in sheep than in the other 2 species while lactoperoxidase was higher in cow milk whey. Conversely, the polymeric immunoglobulin receptor isoform 1 was higher in small ruminants whey milk than in bovine. Concerning fatty acid composition, concentrations of C6:0, C8:0, and C10:0, responsibles for the flavor of cheeses, are much higher in sheep and goat’s milk and dairy products than in cows. The opposite occurs with the content of cis-9 C18:1, which is lower in caprine and ovine milk fat. CLA and trans-11 C18:1 contents seem to be slightly higher in ewe’s products. Another important achievement is the study the specific composition of the milk microbiota that directly impacts on the subsequent development of dairy products. Microorganisms can bring about the fermentation of milk through the production of lactate and have a variety of different impacts on the sensory, texture, flavor and organoleptic properties of resultant products.