Cow's milk allergy (CMA) is one of the most prevalent food allergies and the most expensive allergic diseases in the pediatric age. There is no cure for CMA, and actual disease management is based on strict avoidance of cow milk protein-containing foods, access to rescue medication, and use of substitutive formulas. Early-life CMA could be one of the first steps of the "allergic march" (AM), leading to the occurrence of other atopic manifestations later in the life, including asthma and oculorhinitis, with subsequent further increase of costs for health care systems and families of affected children. In the last years, diet is emerged as a relevant strategy to prevent allergic diseases through, at least in part, epigenetic modulation of immune system. We provide an overview of studies that investigate the potential role of different dietary strategies in preventing the AM in pediatric patients with CMA.