Milk is one of the most common sources of nutrients in humans, however, the composition and healthy value of the milk derived from different animals are very different. Here, we systemically compared the protein and lipid profiles and evaluated the anti-inflammation and antioxidant effect of buffalo and Holstein-derived milk on Caco-2 cells. Results showed that 906 proteins and 1899 lipids were identified in the buffalo milk and Holstein milk samples including 161 significantly different proteins (DEPs) and 49 significantly different lipids. The DEPs were mainly enriched in defense response-related terms, while the differential lipids were mainly included in fat digestion and absorption and cholesterol metabolism pathways. In addition, the Caco-2 cells co-cultured with buffalo and Holstein milk components showed significant benefits in being resistant to LPS-induced inflammation stress and H2O2-induced ROS stress. The qRT-PCR and ELISA results showed that the expression of TNF-α, IL-1β, and IL-6 was significantly lower (p < 0.05) in the cells co-cultured with milk components. Further analysis showed that, after H2O2 treatment, the expression of keap1 and Nrf-2 in the Caco-2 cells co-cultured with milk components was significantly lower (p < 0.05). In addition, being co-cultured with milk components significantly decreased the SOD, MDA, CAT, and GSH-Px content (p < 0.05) in the Caco-2 cells induced by H2O2. This study provides a novel insight into the differences in proteins and lipids between buffalo milk and Holstein milk, and a reference understanding of the anti-inflammation and antioxidant effect of the consumption of milk on the intestines.