Milk from different animals is a staple food consumed since immemorial times all over the world. However, there is a lack of knowledge in the scientific literature about knowledge related to milk and its effects on nutrition and health. The objective of this study was to investigate consumers’ knowledge about milk, its composition, and its effects on human health in two different countries. The study was conducted through a questionnaire survey in Portugal and France and involved 542 participants of whom 332 were French and 210 were Portuguese. For data analysis, we used basic statistics, parametric tests, tree classification, and factor analysis. The results showed that some sociodemographic variables significantly influenced the level of knowledge, namely country (p < 0.001), age (p = 0.029), and the dimension of the household (p < 0.001). Nevertheless, tree classification analyses revealed that other variables such as education, occupation, and body mass index showed some discriminating ability. Factor analysis retained 20 items of the 23 initially tested. The solution contained five factors, two of which had very good internal consistency (alpha values of 0.825 and 0.803). The mean scores for knowledge in practically all factors were consistently higher for the Portuguese as compared with the French sample. In conclusion, the level of knowledge about milk composition and its health effects differs according to several sociodemographic variables, particularly in what constitutes country differences.