The milk fat globule membrane (MFGM) is a three-layered membrane that surrounds milk fat globules. Its main components include proteins, carbohydrates, and lipids, which are mainly derived from the mammary gland cell membrane. Different milk sources vary in the composition of MFGM proteins, which have good emulsifying properties, gastrointestinal stability and safety. Some MFGM proteins have diverse bioactivities including anti-inflammatory, antiviral and intestine regulatory effects and enhancing the exercise performance of muscles. This paper reviews the composition, physicochemical properties and bioactivities of MFGM proteins, which will provide a reference for the research and application of MFGM proteins in the dairy industry and related food additives.