Milk proteins constitute a natural reservoir of bioactive peptides with physiological and/or antimicrobial properties, the release of which requires hydrolysis of the precursor molecules by digestive proteases or by fermentation with proteolytic micro-organisms. Depending on the digestive or microbial proteases used, an array of bioactive peptides would be released either from caseins or whey proteins, but only a small part of these peptides has so far been identified and characterised with respect to their antimicrobial activity. The antimicrobial peptides known thus far have proven to be potent inhibitors to the growth of a wide range of undesirable micro-organisms of health or spoilage significance. Nevertheless, previous research work has largely been oriented towards their possible application in medicine, which has hindered their high potential as food-grade biopreservatives and/or as supplements in functional foods. This review attempts to study the literature pertaining to antimicrobial peptides derived from major milk proteins (caseins, α-lactalbumin and β-lactoglobulin) upon hydrolysis either by digestive proteases or by fermentation with proteolytic lactic acid bacteria. Their possible application in the food industry and their mechanism of action will also be discussed. Reference antimicrobial peptides produced by living micro-organisms as innate immune defence components against microbial infections will occasionally be invoked for comparison purposes.