Water buffalo (Bubalus bubalis) conservation in Serbia is under an in situ program, but additional efforts are needed to ensure the development of this animal’s genetic resources biodiversity. This research aims to describe challenges and possible strategies for sustainable water buffalo milk production. In this study, the physicochemical characteristics of buffalo milk and buffalo dairy products (cheese, butter, and kajmak) were determined. Furthermore, amino and fatty acids composition and the related health lipid indices (atherogenic and thrombogenic) were assessed. The findings support the fact that buffalo milk is a reliable source of high-quality nutrients (dry matter: 16.10%, fat: 6.02%, protein: 4.61%). Leucine, lysine, and valine content were found to be high in buffalo milk and cheese. A substantial quantity of non-essential glutamic and aspartic amino acids was observed in milk, as well as glutamic acid and tyrosine in cheese. It was established that milk protein of buffalo cheese had a favorable proportion of essential and non-essential amino acids (61.76%/38.24%). The results revealed significant differences (p < 0.05) in fatty acid profiles among the three dairy products for saturated short-chain, n-3, and n-6 fatty acids. Conversely, no significant difference (p < 0.05) was observed in monounsaturated fatty acids content. Kajmak showed the most favorable anti-atherogenic and anti-thrombogenic properties due to lower saturated and higher polyunsaturated fatty acid content. These results confirmed that buffalo milk could be successfully used in producing high-quality traditional dairy products with added value and beneficial characteristics from the aspect of a healthy diet. Furthermore, it could actively contribute to the promotion of sustainable production of buffaloes and strengthen the agricultural production of rural areas and their heritage.