Milk is a rich source of biologically important proteins and peptides. In addition, milk contains a variety of extracellular vesicles (EVs), including exosomes, that carry their own proteome cargo. EVs are essential for cell-cell communication and modulation of biological processes. They act as nature carriers of bioactive proteins/peptides in targeted delivery during various physiological and pathological conditions. Identification of the proteins and protein-derived peptides in milk and EVs and recognition of their biological activities and functions had a tremendous impact on food industry, medicine research, and clinical applications. Advanced separation methods, mass spectrometry (MS)-based proteomic approaches and innovative biostatistical procedures allowed for characterization of milk protein isoforms, genetic/splice variants, posttranslational modifications and their key roles, and contributed to novel discoveries. This review article discusses recently published developments in separation and identification of bioactive proteins/peptides from milk and milk EVs, including MS-based proteomic approaches.