As one of six dietary nutrients, lipid derived from different food matrices has been extensively studied and has an appropriate application in food, medicine, and cosmetic industry. Egg is a richly nutritive food, of which proteins and lipids possess excellent functional characteristics and biological activities. In recent years, egg yolk lipid has been successively separated and investigated, such as egg yolk oil, phospholipids, and fatty acids, which have anti-inflammatory activity, antioxidant activity, cardiovascular protection, and memory improvement, involving the regulation of cell function and physiological homeostatic balance. In this paper, the biological activities and underlying benefit of egg yolk lipids and fat-soluble components have been highlighted and summarized. Meanwhile, the quantitative data of egg yolk lipids needed to achieve any of the described biological effects and recommended concentrations relevant for dietary intake are reviewed. Finally, current challenges and crucial issues of high-efficiency utilization of egg yolk lipids are also discussed.