Milk proteins have received much awareness due to their bioactivity. However, their encapsulation functions have not attracted enough attention. Milk proteins as encapsulation walls can increase the bioavailability of bioactive compounds. As the benefits of bioactive compounds are critically determined by bioavailability, the effect of interactions between milk proteins and active substances is a critical topic. In the present review, we summarize the effects of milk proteins as encapsulation walls on the bioavailability of active substances with a special focus. The methods and mechanisms of interactions between milk proteins and active substances are also discussed. The evidence collected in the present review suggests that when active substances are encapsulated by milk proteins, the bioavailability of active substances can be significantly affected. This review also provides valuable guidelines for the use of milk protein-based microcarriers.