Milk and dairy products are integral part of human nutrition and they are considered as the carriers of higher biological value proteins, calcium, essential fatty acids, amino acids, fat, water soluble vitamins and several bioactive compounds that are highly significant for several biochemical and physiological functions. In recent years, foods containing natural antioxidants are becoming popular all over the world as antioxidants can neutralize and scavenge the free radicals and their harmful effects, which are continuously produced in the biological body. Uncontrolled free radicals activity can lead to oxidative stresses, which have been implicated in breakdown of vital biochemical compounds such as lipids, protein, DNA which may lead to diabetes, accelerated ageing, carcinogenesis and cardiovascular diseases. Antioxidant capacity of milk and milk products is mainly due to sulfur containing amino acids, such as cysteine, phosphate, vitamins A, E, carotenoids, zinc, selenium, enzyme systems, superoxide dismutase, catalase, glutathione peroxidase, milk oligosaccharides and peptides that are produced during fermentation and cheese ripening. Antioxidant activity of milk and dairy products can be enhanced by phytochemicals supplementation while fermented dairy products have been reported contained higher antioxidant capacity as compared to the non-fermented dairy products. Literature review has shown that milk and dairy products have antioxidant capacity, however, information regarding the antioxidant capacity of milk and dairy products has not been previously compiled. This review briefly describes the nutritional and antioxidant capacity of milk and dairy products.