Cow's milk (CM) is an integral part of our daily diet starting in infancy and continuing throughout our lifetime. Its composition is rich in proteins with a high nutritional value, bioactive components, milk minerals including calcium, and a range of immunoactive substances. However, cow's milk can also induce a range of immune-mediated diseases including non-IgE-mediated food allergies and IgE-mediated food allergies. Cow's milk allergens have been identified and characterized and the most relevant ones can be assigned to both, the whey and casein fraction. For preservation a range of processing methods are applied to make cow's milk and dairy products safe for consumers. However, these methods affect milk components and thus alter the overall immunogenic activity of cow's milk. This review summarizes the current knowledge on cow's milk allergens and immunoactive substances and the impact of the different processes up- or downregulating the immunogenicity of the respective proteins. It highlights the gaps of knowledge of the related disease mechanisms and the still unidentified beneficial immunomodulating compounds of cow's milk.