The objective of the present study was to investigate the effect of the high pressure (HP) processing and transglutaminase (TGase) treatment of bovine (cow) or ovine (sheep) milk, when applied individually or sequentially, on the quality parameters and anti-hypertensive and immunomodulatory properties of yoghurt. Low-fat (2% w/w) bovine or ovine milk samples were used. Results showed that HP treatment of milk led to acid gels with equivalent quality attributes to thermal treatment, with the more representative attributes being whey separation and firmness, which ranged from 47.5% to 49.8% and 23.8% to 32.2% for bovine and ovine yoghurt, respectively, and 74.3–89.0 g and 219–220 g for bovine and ovine yoghurt, respectively. On the other hand, TGase treatment of milk, solely or more effectively following HP processing, resulted in the improvement of the textural attributes of yoghurt and reduced whey separation, regardless of milk type, exhibiting values of 32.9% and 8.7% for the whey separation of bovine and ovine yoghurt, respectively, and 333 g and 548 g for the firmness of bovine and ovine yoghurt, respectively. The HP processing and TGase treatment of milk led to the preservation or improvement of the anti-hypertensive activity of the samples, especially in the case in which ovine milk was used, with Inhibitory activity of Angiotensin Converting Enzyme (IACE) values of 76.9% and 88.5% for bovine and ovine yoghurt, respectively. The expression of pro-inflammatory genes decreased and that of anti-inflammatory genes increased in the case of samples from HP-processed and/or TGase-treated milk as compared to the corresponding expressions for samples from thermally treated milk. Thus, it can be stated that, apart from the quality improvement, HP processing and TGase treatment of milk may lead to the enhancement of the bio-functional properties of low-fat yoghurt made from either bovine or ovine milk.