The yak is a special species that inhabits the Qinghai-Tibet Plateau and its surrounding areas. Its unique habitat gives yak milk certain distinct characteristics compared to regular cow milk. Yak milk not only has a high nutritional value but also holds potential benefits for human health. In recent years, there has been increasing research attention on yak milk. Studies have found that the bioactive components in yak milk have various functional properties, including antioxidant, anticancer, antibacterial, blood pressure-lowering, anti-fatigue, and constipation-relieving effects. However, more evidence is needed to confirm these functions in the human body. Therefore, by reviewing the current research status on the nutrition and functionality of yak milk, we aim to reveal its enormous potential as a source of nutritional and functional substances. This article primarily analyzed the nutritional composition of yak milk and the functional effects of its bioactive components, categorically elucidated the mechanisms behind its functional activities, and provided a brief introduction to related yak milk products. Our objective is to deepen people’s understanding of yak milk and provide some references for its further development and utilization.