Infection with hepatitis E virus (HEV) is common in both developing and industrialized nations. Genotypes 3 and 4 are increasingly being reported, particularly in high-income countries where the precise extent of HEV transmission via food is currently unclear. Recently, HEV has been found to be excreted in milk; however, data on the potential milk-borne transmission is still lacking or conflicting and warrants further research on the topic. As such, the aim of the present study was to review the current scientific knowledge and to summarize the existing studies in which HEV has been detected in milk. Exhaustive searches were carried out in Mendeley, PubMed, Scopus and Web of Science. A total of 157 papers were retrieved from the four electronic databases. After removing duplicate articles from the databases (n = 30), exclusion criteria identified unrelated research (n = 115). This allowed the identification of 12 eligible papers. To date, studies on HEV detection in milk were mostly from China (n = 5), followed by Egypt (n = 2), Germany (n = 1), Belgium and Holland (n = 1), Turkey (n = 1), Czech Republic (n = 1) and Spain (n = 1) and were focused on a variety of animals (cow, goat, donkey, buffalo, sheep and camel) and humans. Four out of the 12 eligible studies did not find any evidence of HEV in milk. Moreover, 3 out of the 12 studies detected low rates of HEV (0.2–1.8%) and two were based on a low sample size (n = 1 and n = 4). Interestingly, one study showed very high detection rates and also detected HEV genotype 1 in an animal milk sample, an unusual finding since it only occurs in humans, deserving further studies for confirmation and characterization. Two studies detected high prevalence of HEV genotype 4 in bovine samples from China, with one showing indication of the presence of infectious HEV in milk. To date, there is still a small amount of available data on the HEV presence in milk, posing important questions regarding both animal and human health. Thus, further efforts on this potentially underestimated zoonotic route for HEV should be given, warranting further studies on the topic.