Bovine milk contains 2%–5% lipids, secreted by breast epithelial cells and dispersed in the milk in the form of milk fat globules. Most of the milk fat (about 98%) exists in the milk fat globules in the form of glycerolipids, and the rest (about 2%) is polar lipids, including glycerophospholipids, sphingolipids, glycolipids, mainly distributed in the milk fat globule membrane surface. Despite their relative scarcity, milk polar lipids play an indispensable role in the growth and development of mammals. This review introduces readers to the types of polar lipids in milk, and compares the types and quantities of milk polar lipids from different milk sources including cows, buffalo, yak, sheep, goats, donkeys, camels, and humans. Next, this review summarizes the physiological functions of milk polar lipids including inhibition of neutral fat absorption, regulation of intestinal microbial community composition, prevention of cardiovascular disease, prevention of non-alcoholic fatty liver, promotion of cognitive function and nervous system development, and anti-inflammatory effects with a view to providing reference for the research and development of functional milk fat products.