The human newborn infant is susceptible to gut inflammatory disorders. In particular, growth-restricted infants or infants born prematurely may develop a severe form of intestinal inflammation known as necrotizing enterocolitis (NEC), which has a high mortality. Milk provides a multitude of proteins with anti-inflammatory properties and in this review we gather together some recent significant advances regarding the isolation and proteomic identification of these minor constituents of both human and bovine milk. We introduce the process of inflammation, with a focus on the immature gut, and describe how a multitude of milk proteins act against the inflammatory process according to both in vitro and in vivo studies. We highlight the effects of milk proteins such as caseins, and of whey proteins such as alpha-lactalbumin, beta-lactoglobulin, lactoferrin, osteopontin, immunoglobulins, trefoil factors, lactoperoxidase, superoxide dismutase, platelet-activating factor acetylhydrolase, alkaline phosphatase, and growth factors (TGF-β, IGF-I and IGF-II, EGF, HB-EGF). The effects of milk fat globule proteins, such as TLR-2, TLR-4, sCD14 and MFG-E8/lactadherin, are also discussed. Finally, we indicate how milk proteins could be useful for the prophylaxis and therapy of intestinal inflammation in infants and children.