Milk fat globule membrane (MFGM) is a complex tri-layer membrane that wraps droplets of lipids in milk. In recent years, it has attracted widespread attention due to its excellent bioactive functions and nutritional value. The milk fat globule membrane contains a diverse array of bioactive lipids, including cholesterol, phospholipids, and sphingolipids, which play pivotal roles in mediating the bioactivity of the milk fat globule membrane. We sequentially summarize the main lipid types in milk fat globule membrane in this comprehensive review and outline the characterization methods used to employed them. In this comprehensive review, we sequentially describe the types of major lipids found in the milk fat globule membrane and outline the characterization methods employed to study them. Additionally, we compare the structural disparities among glycerophospholipids, sphingolipids, and gangliosides, while introducing the formation of lipid rafts facilitated by cholesterol. The focus of this review revolves around an extensive evaluation of current research on lipid isolates from the milk fat globule membrane, as well as products containing milk fat globule membrane lipids, with respect to their impact on human health. Notably, we emphasize clinical trials encompassing a large number of participants. The summarized bioactive functions of milk fat globule membrane lipids encompass regulation of human growth and development, influence on intestinal health, inhibition of cholesterol absorption, enhancement of exercise capacity, and anti-cancer effects. By offering a comprehensive overview, the aim of this review is to provide valuable insights into the diverse biologically active functions exhibited by lipids in milk fat globule membrane.