Milk is one of the most important foods for mammals, because it is the first form of feed providing energy, nutrients and immunological factors. In the last few years, milk lipids have attracted the attention of researchers due to the presence of several bioactive components in the lipid fraction. The lipid fraction of milk and dairy products contains several components of nutritional significance, such as ω-3 and ω-6 polyunsaturated fatty acids, CLA, short chain fatty acids, gangliosides and phospholipids. Prospective cohort evidence has shown that phospholipids play an important role in the human diet and reinforce the possible relationship between their consumption and prevention of several chronic diseases. Because of these potential benefits of phospholipids in the human diet, this review is focused on the recent advances in phospholipids from colostrum, milk and dairy by-products. Phospholipid composition, its main determination methods and the health activities of these compounds will be addressed.