Immunomodulatory peptides from milk (IPM) are a class of polypeptides with various biological activities such as immunomodulatory, antibacterial, and antioxidant properties. Compared to microbial fermentation, enzymatic hydrolysis offers distinct advantages including high specificity for cleavage sites, defined product structures, and superior process controllability, making it the preferred strategy for producing high-potency, standardized IPMs. This review summarizes recent advances in the enzymatic preparation of IPMs, focusing on enzyme selection strategies and the structure-activity relationship of IPMs regarding charge, hydrophobicity, and peptide chain length. Furthermore, it discusses the bidirectional mechanisms of IPMs in modulating innate and adaptive immunity, and highlights core industrial challenges such as debittering, membrane fouling control, and low oral bioavailability. Future research should integrate artificial intelligence assisted virtual screening and nano-encapsulation technologies to overcome bottlenecks in the application of IPMs.