Milk is a source of bioactive molecules with wide-ranging functions. Among these, the immune properties have been the best characterised. In recent years, it has become apparent that besides the immunoglobulins, milk also contains a range of minor immune-related proteins that collectively form a significant first line of defence against pathogens, acting both within the mammary gland itself as well as in the digestive tract of the suckling neonate. We have used proteomics technologies to characterise the repertoire of host-defence-related milk proteins in detail, revealing more than 100 distinct gene products in milk, of which at least 15 are known host-defence-related proteins. Those having intrinsic antimicrobial activity likely function as effector proteins of the local mucosal immune defence (e.g. defensins, cathelicidins and the calgranulins). Here, we focus on the activities and biological roles of the cathelicidins and mammary serum amyloid A. The function of the immune-related milk proteins that do not have intrinsic antimicrobial activity is also discussed, notably lipopolysaccharide-binding protein, RNase4, RNase5/angiogenin and cartilage-glycoprotein 39 kDa. Evidence is shown that at least some of these facilitate recognition of microbes, resulting in the activation of innate immune signalling pathways in cells associated with the mammary and/or gut mucosal surface. Finally, the contribution of the bacteria in milk to its functionality is discussed. These investigations are elucidating how an effective first line of defence is achieved in the bovine mammary gland and how milk contributes to optimal digestive function in the suckling calf. This study will contribute to a better understanding of the health benefits of milk, as well as to the development of high-value ingredients from milk.