Cow’s milk proteins cause allergic symptoms in 2% to 3% of all infants. In these individuals, the physiological mechanism of tolerance is broken with subsequent possible sensitization to antigens, which can lead eventually to allergic responses. The present review aims to provide an overview of different aspects of immune modulation by dietary intervention in cow’s milk allergy (CMA). It focuses on pathogenetic mechanisms of different CMA related disorders, e.g., gastroesophageal reflux and eosinophilic esophagitis, highlighting the role of dietary management on innate and adaptive immune systems. The traditional dietary management of CMA has greatly changed in the last years, moving from a passive approach, consisting of an elimination diet to relieve symptoms, to a “proactive” one, meaning the possibility to actively modulate the immune system. Thus, new insights into the role of hydrolysates and baked milk in immunomodulation are addressed here. Additionally, nutritional components, such as pre- and probiotics, may target the immune system via microbiota, offering a possible road map for new CMA prevention and treatment strategies.