Abstract: Exosomes, as a kind of extracellular vesicles, are secreted by cells into the extracellular. It is loaded by many active substances with specific functions, including nucleic acids, lipids, proteins, etc. The vast majority of living cells can secrete exosomes and transfer the components to the target cells to play a specific role. The exosomes secreted by cow’s milk have been proved to have good effects on human innate immunity and intestinal development. At the same time, exosomes derived from cow’s milk have also been proved to bring potential risks to the development of chronic diseases such as obesity and type 2 diabetes. This article reviews the composition and formation of exosomes, as well as the beneficial functional characteristics and some potential risks of milk exosomes to human body. It is expected to provide reference for research on milk exosomes.