Edible coatings and films appear to be a very promising strategy for delivering bioactive compounds and probiotics in food systems when direct incorporation/inoculation is not an option. The production of dairy products has undergone radical modifications thanks to nanotechnology. Despite being a relatively new occurrence in the dairy sector, nanotechnology has quickly become a popular means of increasing the bioavailability and favorable health effects of a variety of bioactive components. The present review describes, in detail, the various processes being practiced worldwide for yoghurt preparation, microencapsulation, and nanotechnology-based approaches for preserving and/or enriching yoghurt with biologically, and its effect on health and in treating various diseases. In the case of yoghurt, as a perfect medium for functional ingredients supplementation, different gums (e.g., alginate, xanthan gum, and gum arabic), alone or in combination with maltodextrin, seem to be excellent coatings materials to encapsulate functional ingredients. Edible coatings and films are ideal carriers of bioactive compounds, such as antioxidants, antimicrobials, flavors, and probiotics, to improve the quality of dairy food products. Yoghurt is regarded as a functional superfood with a variety of health benefits, especially with a high importance for women’s health, as a probiotic. Consumption of yoghurt with certain types of probiotic strains which contain γ-linolenic acid or PUFA can help solve healthy problems or alleviate different symptoms, and this review will be shed light on the latest studies that have focused on the impact of functional yoghurt on women’s health. Recently, it has been discovered that fermented milk products effectively prevent influenza and COVID-19 viruses. Bioactive molecules from yoghurt are quite effective in treating various inflammations, including so-called “cytokine storms” (hypercytokinaemia) caused by COVID-19.