Donkey milk can be used as a substitute for infants and children who suffer from cow milk proteins intolerance and multiple food hypersensitivity. Up to date, this is one of the main reasons why donkey milk has become a substantial area for reasearch, with an increase over the the last fifteen years. In donkey milk chain, risk analysis should be the object of particular attention because children are the main consumers of this food. In fact, this process is one of the main tool to achieve a high level of protection of human health and life; thus, the most important safety hazards should be monitored in order to attain this goal. This review focuses on the main hazards possibly present in raw donkey milk, including bacteria, fungal toxins, parasites, and chemical pollutants. Literature data have been considered, including some information that is not provided in the international literature. In the authors’ opinion, the current scientific knowledge should be improved, with the aim of allowing a suitable risk assessment along the whole donkey milk chain. However, in the meantime, the competent authorithies must carry out more stringent official controls, with particular attention given to the level of primary production. The issue of a traceability system in donkey milk chain should be considered of paramount importance.