Lipids play important biological roles, such as providing essential fatty acids and signaling. The wide variety and structural diversity of lipids, and the limited technical means to study them, have seriously hampered the resolution of the mechanisms of action of lipids. With advances in mass spectrometry (MS) and bioinformatic technologies, large amounts of lipids have been detected and analyzed quickly using MS-based lipidomic techniques. Milk lipids, as complex structural metabolites, play a crucial role in human health. In this review, the lipidomic techniques and their applications to dairy products, including compositional analysis, quality identification, authenticity identification, and origin identification, are discussed, with the aim of providing technical support for the development of dairy products.