Milk is a rich source of biologically important proteins and peptides. In addition, milk contains a variety of extracellular vesicles (EVs), including exosomes, that carry their own proteome cargo. EVs are essential for cell–cell communication and modulation of biological processes. They act as nature carriers of bioactive proteins/peptides in targeted delivery during various physiological and pathological conditions. Identification of the proteins and protein‐derived peptides in milk and EVs and recognition of their biological activities and functions had a tremendous impact on food industry, medicine research, and clinical applications. Advanced separation methods, mass spectrometry (MS)‐based proteomic approaches and innovative biostatistical procedures allowed for characterization of milk protein isoforms, genetic/splice variants, posttranslational modifications and their key roles, and contributed to novel discoveries. This review article discusses recently published developments in separation and identification of bioactive proteins/peptides from milk and milk EVs, including MS‐based proteomic approaches.