The use of clay materials in dairy technology requires a multidisciplinary approach that allows correlating clay efficiency in the targeted application to its interactions with milk components. For profitability reasons, natural clays and clay minerals can be used as low-cost and harmless food-compatible materials for improving key processes such as fermentation and coagulation. Under chemical stability conditions, clay materials can act as adsorbents, since anionic clay minerals such as hydrotalcite already showed effectiveness in the continuous removal of lactic acid via in situ anion exchange during fermentation and ex situ regeneration by ozone. Raw and modified bentonites and smectites have also been used as adsorbents in aflatoxin retention and as acidic species in milk acidification and coagulation. Aflatoxins and organophilic milk components, particularly non-charged caseins around their isoelectric points, are expected to display high affinity towards high silica regions on the clay surface. Here, clay interactions with milk components are key factors that govern adsorption and surface physicochemical processes. Knowledge about these interactions and changes in clay behavior according to the pH and chemical composition of the liquid media and, more importantly, clay chemical stability is an essential requirement for understanding process improvements in dairy technology, both upstream and downstream of milk production. The present paper provides a comprehensive review with deep analysis and synthesis of the main findings of studies in this area. This may be greatly useful for mastering milk processing efficiency and envisaging new prospects in dairy technology.