The increase of knowledge on the composition of donkey milk has revealed marked similarities to human milk, which led to a growing number of investigations focused on testing the potential effects of donkey milk in vitro and in vivo. This paper examines the scientific evidence regarding the beneficial effects of donkey milk on human health. Most clinical studies report a tolerability of donkey milk in 82.6–98.5% of infants with cow milk protein allergies. The average protein content of donkey milk is about 18 g/L. Caseins, which are main allergenic components of milk, are less represented compared to cow milk (56% of the total protein in donkey vs. 80% in cow milk). Donkey milk is well accepted by children due to its high concentration of lactose (about 60 g/L). Immunomodulatory properties have been reported in one study in humans and in several animal models. Donkey milk also seems to modulate the intestinal microbiota, enhance antioxidant defense mechanisms and detoxifying enzymes activities, reduce hyperglycemia and normalize dyslipidemia. Donkey milk has lower calorie and fat content compared with other milks used in human nutrition (fat ranges from 0.20% to 1.7%) and a more favourable fatty acid profile, being low in saturated fatty acids (3.02 g/L) and high in alpha-linolenic acid (about 7.25 g/100 g of fat). Until now, the beneficial properties of donkey milk have been mostly related to whey proteins, among which β-lactoglobulin is the most represented (6.06 g/L), followed by α-lactalbumin (about 2 g/L) and lysozyme (1.07 g/L). So far, the health functionality of donkey milk has been tested almost exclusively on animal models. Furthermore, in vitro studies have described inhibitory action against bacteria, viruses, and fungi. From the literature review emerges the need for new randomized clinical trials on humans to provide stronger evidence of the potential beneficial health effects of donkey milk, which could lead to new applications as an adjuvant in the treatment of cardiometabolic diseases, malnutrition, and aging.