The incidence of the metabolic syndrome (MetS) and type 2 diabetes (T2D) is increasing worldwide. Evidence supports a negative relationship between the consumption of dairy products and risk of MetS and T2D. Dairy proteins are known to have a directly beneficial effect on hypertension, dyslipidemia, and hyperglycemia, but a detailed understanding of the underlying mechanisms is missing. It has been confirmed by observations that the insulinotropic effect of dairy proteins is associated with the amino acid composition; in particular branched-chain amino acids (BCAA) seem to be of vital importance. Dairy protein-derived peptides may also contribute to the insulinotropic effect via dipeptidyl peptidase-4 (DPP-4) inhibitory activity, and may lower the blood pressure (BP). The lipid metabolism may be improved by whey protein (WP), which acts to reduce the postprandial triglyceride (TG) response. The effect of dairy fat is much more controversial because of the potentially harmful effect exerted by saturated fatty acid (SFA) on metabolic health. Recent observations suggest less adverse effects of SFA on metabolic health than previous assumed. However, little is known about dairy lipid fractions belonging to the groups of monounsaturated fatty acids (MUFA), polyunsaturated fatty acids (PUFA), and phospholipids (PL). Dairy fat seems to act differently depending on the dairy product and the composition of macronutrients in the meal. Therefore, for a better understanding of the mechanisms behind the dairy protein and fat effect on MetS, we suggest that more human studies should be carried out to clarify the interactions of dairy protein and fat with macronutrients in the meal and other dairy components, such as micronutrients and microorganisms from fermented products.