Milk is a fundamental component of the human diet, owing to its substantial nutritional content. In addition, milk contains nanoparticles called extracellular vesicles (EVs), which have indicated their potential beneficial roles such as cell-to-cell communication, disease biomarkers, and therapeutics agents. Amidst other types of EVs, milk EVs (MEVs) have their significance due to their high abundance, easy access, and stability in harsh environmental conditions, such as low pH in the gut. There have been plenty of studies conducted to evaluate the therapeutic potential of bovine MEVs over the past few years, and attention has been given to their engineering for drug delivery and targeted therapy. However, there is a gap between the experimental findings available and clinical trials due to the many challenges related to EV isolation, cargo, and the uniformity of the material. This review aims to provide a comprehensive comparison of various techniques for the isolation of MEVs and offers a summary of the therapeutic potential of bovine MEVs described over the last decade, analyzing potential challenges and further applications. Although a number of aspects still need to be further elucidated, the available data point to the role of MEVs as a potential candidate with therapeutics potential, and the supplementation of MEVs would pave the way to understanding their in-depth effects.