Dairy products are important sources of biological active compounds that can be interesting for human health. This includes immunoglobulins, whey proteins and peptides, polar lipids, lactic acid bacteria and in particular, probiotics which include many types of lactic acid bacteria. Understanding the interactions between these bioactive components and their delivery matrix may improve the success of their transport to their target site of action. Pioneering research on probiotic lactic acid bacteria has mainly focused on their host effects. However, little was done about their interaction with dairy ingredients. Such knowledge could contribute to design of new and more efficient dairy food, and to understand the interplay between the various constituents. The purpose of this review is first to provide an overview of current knowledge about biomolecules encountered on bacterial surface and dairy components composition. In order to understand how bacteria can interact with dairy molecules, adhesion mechanisms are discussed with regards to the environmental conditions affecting the bacterial adhesion. Methods that can be used to investigate the bacterial surface and the ones that can probe bacterial interactions with other components are also detailed. Finally, the interest in studying bacterial interactions with milk components is illustrated by relevant industrial examples, as the influence of bacterial surface biomolecules on yogurt structure or the bacterial location in a dairy matrix.