Milk has long been recognized as a source of macro- and micronutrients, immunological components, and biologically active substances, which not only allow growth but also promote health in mammalian newborns. Many milk lipids, lipid-soluble substances, and their digested products are bioactive, including vitamins and vitamin-like substances. Vitamins A, E, D, and K and carotenoids are known as highly lipophilic food microconstituents (HLFMs), and all occur in milk. HLFMs also include phytosterols, which, although they are not vitamins, are nevertheless biologically active and present in milk. Fat-soluble micronutrients, including fat-soluble vitamins, are embedded in the milk fat fraction, and this has important implications for their bioaccessibility and bioavailability from milk. In fact, the fat component of milk is an effective delivery system for highly lipophilic microconstituents. The vitamin content of animal products can be enhanced by increasing the feed content of synthetic or natural vitamins or precursors. An advantage of augmenting milk microconstituents by animal nutrition rather than milk fortification is that it helps safeguard animal health, which is a primary factor in determining the quality, safety, and whole-someness of animal-origin foods for human consumption. The milk fat delivery system offers numerous possibilities for exploitation by nutritionists. For example, the payload could consist of enhanced levels of several micronutrients, opening possibilities for synergic effects that are as yet incompletely understood.