Horse and donkey populations are widely distributed around the world and have been known as dairy species since ancient times. Nowadays, equid milk is carving a niche as an alternative food source for infants with cow milk allergy as well as for aged consumers, thanks to its unique components. Differences in milk components between dairy species describe the closer resemblance of equid milk to human milk even though the remarkably low fat content results in a low energy content of horse and donkey milk. Compared to cow milk, equid milk contains average higher concentrations of Fe but lower concentrations of Zn and Mn. Among the allergenic components, caseins occur in different proportions in milk from different species, i.e. αs1-casein has the highest percentage in cow milk while β-casein is the most represented in horse, goat and human milk. The horse casein micellar size is in average higher than human (64 nm) and cow milk (182 nm). Beta-lactoglobulin (absent in human milk) is the most represented whey protein in both equid (30%) and cow (50%) milk. Advances in knowledge of equid milk production for sensitive consumers are reviewed with regard to both nutrients and bioactive compounds, either endogenous or generated during the digestion process or fermentation. Besides biotechnological processes in koumiss and other fermented horse and donkey products, the primary production of milk from these monogastric species could be managed to differentiate the nutritional and functional values of the milk product for different categories of sensitive consumers.