Goat milk as a preferable probiotic vehicle has been investigated and the contribution of fermented goat dairy products to the nutritional and economic wellbeing of the world is tremendous. This review presents the recent progress on fermented goat dairy products, including probiotic selection, composition comparison to fermented cow milk, health effects, and related mechanisms. Fermented goat milk maintains a better nutritional profile in comparison to fermented cow milk with higher values of protein, minerals (Ca, Mg, Fe, Cu, Zn and Se), vitamins (A, D3 and B12) and some fatty acids. Lactobacillus is the predominant genus used in goat milk fermentation and endows goat milk with higher functional value, including gut microbiota regulation, anti-microbial and anti-inflammatory functions, hypocholesterolemic effects, antioxidant effects, hypotensive effects, bone health, anemia recovery, anti-obesity, and anti-atherogenic function. The corresponding mechanisms have been elucidated at the molecular level. A series of collection on probiotics starters, fermentation strategy and characteristics of fermented goat dairy products are performed. Although the industrial applications of fermented goat milk remain underdeveloped, the improved functional annotation and fermentation strategy identified in this review provide a bright future and an excellent framework for the future fermented goat dairy market.