Due to its similarity with human milk and its low allergenic properties, donkey milk has long been used as an alternative for infants and patients with cow's milk protein allergy. In addition, this milk is attracting growing interest in human nutrition because of presumed health benefits. It has antioxidant, antimicrobial, antitumoral, antiproliferative, and antidiabetic activity. Also, it stimulates the immune system, regulates the gastrointestinal flora, and prevents inflammatory diseases. Although all components of donkey milk can contribute to functional and nutritional effects, it is generally accepted that the whey protein fraction plays a major role. The purpose of this review is to highlight the active proteins and peptides of donkey milk in comparison with other types of milk, emphasizing their properties and their roles in different fields.