Milk contains several important nutrients that are beneficial for human health. This review considers the nutritional qualities of essential fatty acids (FAs), especially omega-3 (ω-3) and omega-6 (ω-6) polyunsaturated fatty acids (PUFAs) present in milk from ruminant and non-ruminant species. In particular, the impact of milk fatty acids on metabolism is discussed, including its effects on the central nervous system. In addition, we presented data indicating how animal feeding—the main way to modify milk fat composition—may have a potential impact on human health, and how rearing and feeding systems strongly affect milk quality within the same animal species. Finally, we have presented the results of in vivo studies aimed at supporting the beneficial effects of milk FA intake in animal models, and the factors limiting their transferability to humans were discussed.