Lipid digestion takes place in the stomach (gastric phase) then in the small intestine, proximal, or duodenal (intestinal phase). Lipolysis is catalyzed by different lipases at the lipid/water interface, and its smooth functioning will guarantee optimal absorption of different lipid nutrients. The properties of this interface (quantity, composition, organization), affecting the activity of lipases, vary considerably within the milk and dairy products according to the technological processes used (mechanical treatments such as homogenization, heat treatment). The organization of lipids in dairy matrices and the composition of their interface can therefore affect their hydrolysis by digestive enzymes and their metabolism by the body. After describing the lipids of the different dairy matrices, we will discuss about their digestion, and then their metabolic fate highlighting key points about the relationship between their structure and health.