The significance of dairy in human health and nutrition is gaining significant momentum as consumers continue to desire wholesome, nutritious foods to fulfill their health and wellness needs. Bovine milk not only consists of all the essential nutrients required for growth and development, it also provides a broad range of bioactive components that play an important role in managing human homeostasis and immune function. In recent years, milk bioactives, including α-lactalbumin, lactoferrin, glycomacropeptide, milk fat globule membrane, and milk oligosaccharides, have been intensively studied because of their unique bioactivity and functionality. Challenges for the application of these bioactive components in food and pharmaceutical formulations are associated with their isolation and purification on an industrial scale and also with their physical and chemical instability during processing, storage, and digestion. These challenges can be overcome by advanced separation techniques and sophisticated nano- or micro-encapsulation technologies. Current knowledge about the chemistry, separation, and encapsulation technology of major bioactives derived from bovine milk and their application in the food industry is reviewed here.