The consumption of natural products, especially those that promote some health benefit, has become a choice for consumers. Foods that improve health when ingested are called functional foods. Among them, the most consumed are probiotics, which are defined as microorganisms that, when administered in adequate quantities, can promote a health benefit for consumers. Probiotic dairy products, especially cheese, are the most appreciated and have been produced to possess the properties that favor the viability of these microorganisms after passing through the gastrointestinal tract. They provide benefits such as antibacterial activity, prevention of cancer and cardiovascular diseases, anti-obesity effects, anti-diabetic effects, improved immune systems, and prodiseases, among others. Despite cheeses being a viable matrix for the survival of these probiotics, the development and adoption of technologies with the aim of increasing the viability of probiotic bacteria are necessary, which presents a research trend to be increasingly explored, as well as studies about the complex mechanisms of health benefits resulting from the actions of probiotics. Thus, this review aims to address the most recent innovations regarding the incorporation of probiotics in cheeses and their functional potential.