Amongst the new food, as a replacement of human milk, particular interest is addressed to donkey milk, whose hypoallergenic and nutritional characteristics are similar to human milk. The "virtues" attributed to the donkey milk could be referable to the presence of lipid compounds such as fatty acids and triglycerides. This review summaries the recent knowledge on these bioactive substances which are characterized by the ability in conditioning the intestinal environment and immunity, taking part in the prevention and treatments of some pathologies. Reviewed data confirm the role of this milk as functional food and suggest the feasibility of the innovative "dairy donkey" food chain.