The aim of this study was to verify the variation in fatty acid composition of milk, and derived cheese, when dairy cows were grazed on different alpine vegetation types. An experimental design was developed to highlight the effect of pasture composition on milk and cheese fatty acid profiles, thereby mitigating the other variables (altitude, animal physiology, and animal management). Two dairy cow groups were grazed on two different key alpine vegetation types (Type 1: Trifolium alpinum, Nardus stricta, and Carex sempervirens and Type 2: Festuca nigrescens, Alchemilla xanthochlora, and Phleum alpinum). Bulk milk was collected separately from each group for 6 days, from which 12 artisanal cheeses were produced and ripened for 60 days. The fatty acid (FA) composition of the bulk milks and cheeses varied with the type of vegetation. Milk and cheese derived from cows that were grazed on Trifolium alpinum-dominated pastures were richer in long-chain FAs, unsaturated and monounsaturated FAs (particularly oleic acid), and odd-chain saturated FAs (such as C15:0 pentadecanoic and C17:0 heptadecanoic acids) while those from Festuca nigrescens pastures contained more short- and medium-chain FAs, saturated FAs, and α-linolenic acid. Furthermore, our results showed that in alpine grazing systems, milk and cheese FA profiles changed when cows were grazed on pastures with a different botanical composition, probably due to differences in forage quality and concentration of bioactive secondary metabolites. These results have to be taken into account for the valorization of the nutritional characteristics and for the traceability of grass-fed dairy products.