Bovine milk is widely recognized as one of the most valuable sources of nutrients such as proteins, fats, vitamins, and minerals that support the development and health of the body. In recent years, there has been increasing scientific interest in exosomes, the small membrane-bound vesicles found in milk. Through their content (e.g., microRNA), exosomes can influence gene expression and modulate key signaling pathways within target cells. Results from in vitro and in vivo studies have shown that bovine milk-derived exosomes can alleviate intestinal inflammation by regulating signaling pathways and positively influencing the composition of the gut microbiota. They also improve cognitive function and support nervous system regeneration. In addition, exosomes promote bone health by stimulating osteoblast formation and inhibiting bone resorption, helping to prevent osteoporosis. Studies have shown that exosomes have beneficial effects on skin health by promoting collagen production, protecting cells from oxidative stress, and delaying the ageing process. Bovine milk-derived exosomes are a promising tool for the treatment and prevention of a variety of diseases, particularly those related to inflammation and tissue regeneration. Although these results are promising, further studies are needed to fully understand the mechanisms of action and the potential clinical application of milk exosomes in the prevention and treatment of different diseases.