Breast milk components contribute to the infant’s immune development and protection, and among other immune factors, immunoglobulins (Igs) are the most studied. The presence of IgA in milk has been known for a long time; however, less information is available about the presence of other Igs such as IgM, IgG, and their subtypes (IgG1, IgG2, IgG3, and IgG4) or even IgE or IgD. The total Ig concentration and profile will change during the course of lactation; however, there is a great variability among studies due to several variables that limit establishing a clear pattern. In this context, the aim of this review was firstly to shed light on the Ig concentration in breast milk based on scientific evidence and secondly to study the main factors contributing to such variability. A search strategy provided only 75 studies with the prespecified eligibility criteria. The concentrations and proportions found have been established based on the intrinsic factors of the study—such as the sampling time and quantification technique—as well as participant-dependent factors, such as lifestyle and environment. All these factors contribute to the variability of the immunoglobulinome described in the literature and should be carefully addressed for further well-designed studies and data interpretation.