Proteins are the second most essential macromolecules after nucleic acids. This article aimed at the comparative analysis of extraction methods and nutritional benefits of milk and dairy products. Proteins form the body mass and perform several crucial tasks that include acting as a catalyst and carrying out different metabolic reactions in the body. Furthermore, protein acts as a transporter, transmits nerve impulses, provides mechanical support or immune protection, and controls growth. Several sources of proteins are present, but milk holds an important place due to its biological activities. The considerable health benefits of milk and its products are due to proteins. Yoghurt and cheese have significant importance among milk products. Proteins of milk and its products can be extracted by pH adjustment through homogenisation, centrifugation, and deproteinisation. There are several techniques for identifying and quantifying milk and product proteins. The Kjeldahl and spectrophotometric methods are the most widely used methods for quantifying proteins in milk and its products. Furthermore, these techniques include electrophoresis and chromatographic methods, including native gel electrophoresis, sodium dodecyl sulfate-polyacrylamide gel electrophoresis (SDS-PAGE), urea-PAGE, capillary electrophoresis, and isoelectric focusing. A few are chromatographic methods like reverse-phase high-performance liquid chromatography (RP-HPLC), size exclusion chromatography, and ion-exchange chromatography. Each technique has its advantages as well as disadvantages. The selection of the process depends upon the type of protein. The extracted proteins from milk and its products have many health or therapeutic effects that exhibit antimicrobial, antiproliferative, antioxidant, antihypertensive, anticancer, antiviral, and immunomodulatory effects. Yoghurt has prime importance among milk products because of its therapeutic effects and more protein.