Dairy systems based on grass and forages are widely spread throughout the European Atlantic Arc and they have an influence on milk quality. Likewise, legumes are a key element in the farms to improve cows’ diet and farm feed self-sufficiency. The aim of this study was to evaluate the effect of the legumes in the diet and the feeding system (pasture-based vs. confined) on milk production and composition. An assay was performed with 18 Friesian cows randomized into two management groups (grazing or confined). Three total mixed rations based on Italian ryegrass, faba bean or field pea silages were offered ad libitum for nine continuously housed cows or during two hours after each milking for another nine grazing cows. Regardless of type of silage, grazing cows had higher dry matter intake and milk production than confined cows. Likewise, grazing cows produced milk with a lower concentration of protein and urea than confined cows. The dairy cows fed total mixed rations based on both legume silages had a milk fat with a higher proportion of unsaturated fatty acids, especially with the inclusion of faba bean silage in the diet. The results demonstrate that the profile of fatty acids and antioxidants is related to the feeding system in dairy cows. Grazing directly influenced the composition of milk, decreasing the proportion of saturated fatty acids and increasing the content of unsaturated fatty acids, as CLA, and the antioxidants, as lutein and β-cryptoxanthin.