The milk and dairy industries are some of the most profitable sectors in many countries. This business requires close control of product quality and continuous testing to ensure the safety of the consumers. The potential risk of contaminants or degradation products and undesirable chemicals necessitates the use of fast, reliable detection tools to make immediate production decisions. This review covers studies on the application of electrochemical methods to milk (i.e., voltammetric and amperometric) to quantify different analytes, as reported over the last 10 to 15 years. The review covers a wide range of analytes, including allergens, antioxidants, organic compounds, nitrogen-and aldehyde containing compounds, biochemicals, heavy metals, hydrogen peroxide, nitrite, and endocrine disruptors. The review also examines pretreatment procedures applied to milk samples and the use of novel sensor materials. Final perspectives are provided on the future of cost-effective and easy-to-use electrochemical sensors and their advantages over conventional methods.