Donkey milk is an interesting commercial product for its nutritional values, which make it the most suitable mammalian milk for human consumption, and for the bioactivity associated with it and derivative products. To further mine the characterization of donkey milk, an extensive peptidomic study was performed. Two peptide purification strategies were compared to remove native proteins and lipids and enrich the peptide fraction. In one case the whole protein content was precipitated by organic solvent using cold acetone. In the other one the precipitation of the most abundant milk proteins, caseins, was performed under acidic conditions by acetic acid at pH 4.6, instead. The procedures were compared and proved to be partially complementary. Considered together they provided 1330 peptide identifications for donkey milk, mainly coming from the most abundant proteins in milk. The bioactivity of the isolated peptides was also investigated, both by angiotensin-converting-enzyme inhibitory and antioxidant activity assays and by bioinformatics, proving that the isolated peptides did have the tested biological activities.