Compared with cow’s milk, the milks of minor dairy animal species are know to be richer in nutrients and have a variety of bioactivities such as antibacterial, anticancer activity and antifatigue activity. However, consumers have little knowledge about the nutritional value of the milks of minor species and their production volume, market share and consumption are all low. Current studies regarding the milks of minor dairy species primarily concentrate on nutrient composition and single functional activities but often neglect the overall activity of all functional components. Systematic studies on the functional components, physiological effects and mechanisms of action of the milks of minor dairy species are lacking. In this paper, recent progress in studying the functional activities of donkey milk, buffalo milk, camel milk and goat milk is reviewed, and an outlook on future trends is given. This review hopes to provide a scientific basis for future research and development of high-quality, health dairy products from minor dairy species.