Milk-fat-globule-membrane (MFGM) proteins have important benefits to human health. This study aimed to elucidate the composition, potential function and immunoregulatory activity of MFGM proteins in Zhongdian-yak milk (ZM), Diqing cattle milk (DM), and cattle-yak milk (CM). 2254, 2788, and 2204 MFGM proteins were identified in ZM, DM, and CM, respectively. A total of 343, 554, and 487 differential proteins were identified in CM vs. ZM, DM vs. ZM, and DM vs. CM. These differential proteins were mainly annotated in immune regulation-related metabolic pathways. The MFGM proteins from the three kinds of milk promoted nitric oxide (NO) production in mouse macrophages and play an immunoregulatory role. Molecular docking and molecular dynamics analyses further revealed that highly abundant immune-related MFGM proteins interact with Toll-like receptors (TLR2 and TLR4) through hydrogen-bond-mediated stable binding, thereby exerting immunomodulatory effects. These findings provide new insights into the functional characteristics of MFGM proteins and offer a theoretical basis for the development of functional infant formula or dairy products.