Lactoferrin (Lf) is an iron-binding glycoprotein of the transferrin family, which is expressed in most biological fluids with particularly high levels in mammalian milk. Its multiple activities lie in its capacity to bind iron and to interact with the molecular and cellular components of hosts and pathogens. Lf can bind and sequester lipopolysaccharides, thus preventing pro-inflammatory pathway activation, sepsis and tissue damages. Lf is also considered a cell-secreted mediator that bridges the innate and adaptive immune responses. In the recent years much has been learned about the mechanisms by which Lf exerts its activities. This review summarizes the recent advances in understanding the mechanisms underlying the multifunctional roles of Lf, and provides a future perspective on its potential prophylactic and therapeutic applications.