Increasing the shelf-life of sensitive substances and targeting the release of nutritional/bioactive molecules are among the great challenges for the food industry. The development of food products with embedded encapsulation devices used to reach these objectives, constitutes a growing market. Milk proteins are biopolymers that are chemically and structurally versatile and are well adapted to several encapsulation purposes. Therefore, in this paper, the strategies, techniques, advantages and trends associated with the use of milk proteins as encapsulating device are reviewed. Special attention is given to the novel potential of reversibly co-assembled protein structures as encapsulating devices.