Milk is a lipid-in-water emulsion with a primary role in the nutrition of newborns. Milk fat globules (MFGs) are a mixture of proteins and lipids with nutraceutical properties related to the milk fat globule membrane (MFGM), which protects them, thus preventing their coalescence. Human and bovine MFGM proteomes have been extensively characterized in terms of their formation, maturation, and composition. Here, we review the most recent comparative proteomic analyses of MFGM proteome, above all from humans and bovines, but also from other species. The major MFGM proteins are found in all the MFGM proteomes of the different species, although there are variations in protein expression levels and molecular functions across species and lactation stages. Given the similarities between the human and bovine MFGM and the bioactive properties of MFGM components, several attempts have been made to supplement infant formulas (IFs), mainly with polar lipid fractions of bovine MFGM and to a lesser extent with protein fractions. The aim is thus to narrow the gap between human breast milk and cow-based IFs. Despite the few attempts made to date, supplementation with MFGM proteins seems promising as MFGM lipid supplementation. A deeper understanding of MFGM proteomes should lead to better results.