The authenticity of dairy products has become a focal point, attracting the attention of scientists, producers, consumers, and policymakers. Among many others, some of the practices not allowed in milk and milk products are the substitution of part of the fat or proteins, admixtures of milk of different species, additions of low-cost dairy products (mainly whey derivatives), or mislabeling of products protected by denomination of origin. A range of analytical methods to detect frauds have been developed, modified, and continually reassessed to be one step ahead of manufacturers who pursue these illegal activities. Traditional procedures to assess the authenticity of dairy products include chromatographic, electrophoretic, and immunoenzymatic methods. New approaches such as capillary electrophoresis, polymerase chain reaction, and isotope ratio mass spectrometry have also emerged alongside the latest developments in the former procedures. This work intends to provide an updated and extensive overview since 1991 on the principal applications of all these techniques together with their advantages and disadvantages for detecting the authenticity of dairy products. The scope and limits of different tools are also discussed.