Milk protein-derived peptides have shown immunomodulatory properties either singly or in a mixture. However, information on the behaviour of these compounds is scarce, complicating their further study. This review presents current knowledge on immunomodulatory milk protein-derived peptides, including hydrolysates, peptide fractions and single peptides. The evidence shows that hydrolysates derived from both casein and whey proteins show immunomodulatory effects; however, this bioactivity is mainly attributed to peptides derived from caseins. The identification of peptides in hydrolysates, as well as their characterisation and knowledge of the mechanisms behind their bioactivity, is necessary to further exploit their potential health benefits.