As the core component of dairy products, milk proteins possess rich nutritional value and a variety of bioactive functions. There are complex interactions (covalent bonding, non-covalent bonding, etc.) between active molecules (such as polyphenols, polysaccharides and vitamins) and milk proteins. These interactions not only affect the structure and functional properties of milk proteins (such as emulsifying properties, solubility, foaming properties, and gelling properties), but also may have significant impacts on food processing and preservation, as well as the nutritional value and functionality of final products. This review summarizes the interaction mechanisms between milk proteins and several types of active molecules and their effects on functional properties. It is of great significance for a systematic understanding of the binding between milk proteins and active molecules and provides a theoretical basis for in-depth research and industrial production of dairy products.