Colostrum and milk provide a complete diet for the neonate. In ruminants, colostrum is also the sole source of initial acquired immunity for the offspring. Milk therefore plays an important role in mammalian host defense. In colostrum, the concentration of immunoglobulins is particularly high, with IgG being the major immunoglobulin class present in ruminant milk, in contrast to IgA being the major immunoglobulin present in human milk. Immunoglobulins are transported into mammary secretions via specialized receptors. In addition to immunoglobulins, both colostrum and milk contain viable cells, including neutrophils and macrophages, which secrete a range of immune-related components into milk. These include cytokines and antimicrobial proteins and peptides, such as lactoferrin, defensins, and cathelicidins. Mammary epithelial cells themselves also contribute to the host defense by secreting a range of innate immune effector molecules. A detailed understanding of these proteins and peptides offers great potential to add value to the dairy industry. This is demonstrated by the wide-ranging commercial applications of lactoferrin derived from bovine milk. Knowledge of the immune function of milk, in particular, how the gland responds to pathogens, can be used to boost the concentrations of immune factors in milk through farm management practices and vaccination protocols. The latter approach is currently being used to maximize yields of bovine milk-derived IgA directed at specific antigens for therapeutic and prophylactic use. Increasingly sophisticated proteomics technologies are being applied to identify and characterize the functions of the minor components of milk. An overview is presented of the immune factors in colostrum and milk as well as the results of research aimed at realizing this untapped value in milk.