Human milk and commercial dairy products play a vital role in humans, as they can provide almost all essential nutrients and immune-active components for the development of children. However, how to retain more native immune-active components of milk during processing remains a big question for the dairy industry. Nonthermal technologies for milk processing are gaining increasing interest in both academic and industrial fields, as it is known that thermal processing may negatively affect the quality of milk products. Thermosensitive components, such as lactoferrin, immunoglobulins (Igs), growth factors, and hormones, are highly important for the healthy development of newborns. In addition to product quality, thermal processing also causes environmental problems, such as high energy consumption and greenhouse gas (GHG) emissions. This review summarizes the recent advances of UV-C, ultrasonication (US), high-pressure processing (HPP), and other emerging technologies for milk processing from the perspective of immune-active components retention and microbial safety, focusing on human, bovine, goat, camel, sheep, and donkey milk. Also, the detailed application, including the instrumental design, technical parameters, and obtained results, are discussed. Finally, future prospects and current limitations of nonthermal techniques as applied in milk processing are discussed. This review thereby describes the current state-of-the-art in nonthermal milk processing techniques and will inspire the development of such techniques for in-practice applications in milk processing.