Milk is rich in a variety of essential nutrients and plays an important role in the growth and development of the human body and immune function. Milk has become indispensable as a highly-frequent consumer goods in people’s daily life. As the bioactive components and nutritional functions of different mammalian milks have been investigated, milk from non-bovine mammals such as camel, donkey, horse, and goat are becoming more and more popular among consumers. In this paper, we summarize and compare the composition and content of major nutrients in bovine, ovine, caprine, equine, donkey and camel milks and their biological functions, which will provide a scientific basis for the development and application of different types of dairy products and the healthy development of the dairy industry.