This study compares the oxidative stability of fat isolated from bovine, caprine, ovine and asinine milk as well as the antioxidant activity of casein and whey from these milks. Fat from bovine and asinine milk showed the highest oxidative stability. The antioxidant activity of casein and whey was examined before and after an in vitro digestion process. Whey from asinine milk showed the highest antioxidant activity. The antioxidant activity of whey and casein increased after simulated intestinal digestion. In addition, the results of this study showed that asinine whey exhibited radical scavenging activity comparable with the strong synthetic antioxidants butylated hydroxyanisole (BHA) and butylated hydroxytoluene (BHT).