Naturally occurring conjugated fatty acids are reported to possess many health benefits. Among them, conjugated linoleic acids (CLA) have been extensively studied for the last three decades. This article provides a review of the known effects of CLA (anticancer, antiobesity, modulation of inflammation and immune responses, bone health effects, and lipid metabolism effects) followed by the potential adverse effects of CLA (oxidative stress, insulin resistance, milk fat depression, and hepatic dysfunctions). There are also other naturally occurring conjugated polyenes, including punicic, eleostearic, jacaric, catalpic, calendic, and parinaric acids. Although the research on these conjugated polyenes is limited, a summary is provided to summarize their health benefits.