Milk has co-evolved with mammals and mankind to nourish their offspring and is a biological fluid of unique complexity and richness. It contains all necessary nutrients for the growth and development of the newborn. Structure and function of biomolecules in milk such as the macronutrients (glyco-) proteins, lipids, and oligosaccharides are central topics in nutritional research. Omics disciplines such as proteomics, glycomics, glycoproteomics, and lipidomics enable comprehensive analysis of these biomolecule components in food science and industry. Mass spectrometry has largely expanded our knowledge on these milk bioactives as it enables identification, quantification and characterization of milk proteins, carbohydrates, and lipids. In this article, we describe the biological importance of milk macronutrients and review the application of proteomics, glycomics, glycoproteomics, and lipidomics to the analysis of milk. Proteomics is a central platform among the Omics tools that have more recently been adapted and applied to nutrition and health research in order to deliver biomarkers for health and comfort as well as to discover beneficial food bioactives.