Milk and dairy products have great importance in human nutrition related to the presence of different nutrients, including protein, fatty acid profile and bioactive compounds. Dietary supplementation with foods containing these types of compounds may influence the chemical composition of milk and dairy products and hence, potentially, the consumer. Our objective was to summarize the evidence of the effect of supplementation with antioxidants and phenolic compounds in the diets of dairy animals and their effects on milk and dairy products. We conducted a systematic search in the MEDLINE/PubMed database for studies published up until July 2022 that reported on supplementation with antioxidants and phenolic compounds in diets that included plants, herbs, seeds, grains and isolated bioactive compounds of dairy animals such as cows, sheep and goats and their effects on milk and dairy products. Of the 94 studies identified in the search, only 15 met the inclusion criteria and were analyzed. The review revealed that supplementation with false flax cake, sweet grass, Acacia farnesiana, mushroom myceliated grains and sweet grass promoted an effect on the milk lipid profile, whereas supplementation with dried grape pomace and tannin extract promoted an effect on the milk and cheese lipid profiles. In six studies, the addition of Acacia farnesiana, hesperidin or naringin, durum wheat bran, mushroom myceliated grains, dried grape pomace and olive leaves increased the antioxidant activity of milk. In conclusion, supplementation with bioactive compounds had a positive impact which ranged from an increase in antioxidant capacity to a decrease in oxidative biomarkers such as malondialdehyde.