Abstract: Egg yolk proteins (EYPs) represent a rich reservoir of diverse functional proteins. However, in processing systems primarily oriented toward egg white, egg yolk is frequently relegated to the status of a major by-product. Its complex lipid-protein supramolecular assembly presents both opportunities and challenges for its valorization. Recently, enzymatic hydrolysis has emerged as a pivotal strategy to unlock the latent bioactivities of EYPs, converting them into yolk-derived peptides with significant potential in functional foods and biomedicine. This review systematically examines the compositional and structural attributes of EYPs, identifying the structural recalcitrance that constrains enzymatic efficiency. It further details advanced pretreatment strategies and process optimizations designed to overcome these specific structural barriers. A comprehensive analysis of the biological functions of yolk peptides in promoting bone health is provided, with special emphasis on elucidating the structure-activity relationships (SARs) and the molecular mechanisms underlying their modulation of osteogenesis via multiple signaling pathways. Finally, the review outlines the translational potential of EYPs and their peptides in food systems, biomaterials, and healthcare. Future perspectives focus on the precise identification of core functional sequences, the development of green, targeted preparation technologies, and the validation of efficacy for precision nutrition and therapeutic intervention. This article aims to provide a theoretical foundation and strategic direction for the high-value utilization of egg yolk protein resources and the precise development of functional peptides.