Background: Research efforts have focused on the evaluation of the bioactive quality of animal products (milk, cheese, meat, and other by-products) contrasting various feeding strategies coming from different ecological zones. The study aimed to describe the fatty acids (FA), polyphenols (P), bioactive compounds (BC), and antioxidant activity (AA) of goat’s milk. Methods: Dairy goats were fed with five systems: (1) Grazing; (2) conventional diet (CD); (3) CD + 10% of Acacia farnesiana (AF) pods; (4) CD + 20% AF; and (5) CD + 30% AF. The fatty acid profile, health promoting and thrombogenic indexes were calculated. Milk extracts were evaluated by HPLC to determent phenolic compounds (gallic, caffeic, chlorogenic, and ferulic acids, catechin, epicatechin, and quercetin). Antioxidant activity of goat’s milk extract was evaluated using 2,2-diphenyl-1-picrylhydrazyl radical (DPPH•), oxygen radical absorbance capacity (ORAC), and the ferric reducing antioxidant power (FRAP) assays. Results: Conventional diet showed the highest content of polyunsaturated fatty acids while grazing showed the best n-6:n-3 and the linoleic:alpha linolenic acid ratio. Similarly, grazing and AF boosted the polyphenol content. Conclusions: Acacia farnesiana inclusion in the goats’ diets increased the presence of bioactive compounds and the antioxidant activity while diminishing the cholesterol content of goat’s milk.