Fermented dairy products are obtained from fermentation of milk, through the action of suitable and harmless microorganisms. In addition to lactic acid bacteria, fermented dairy products have bioactive compounds as well as bacteria derived metabolites produced during fermentation. Fermented dairy products, due to their special characteristics, are an excellent matrix for the incorporation of ingredients and/or nutrients that give the final product properties beyond purely nutritional, making them true functional foods, interesting in a healthy diet. This review is focused on existing scientific evidence regarding the consumption of fermented dairy products and their health benefits, principally hypocholesterolemic, antioxidant, bone, hypotensive effects and immunological benefits, such as effects on the host́s intestine and microbiome, anti-carcinogenic, immunomodulation and anti-allergenic effects. This review has extensively assessed the fermented dairy products which could be used as possible nutraceutical agents in food and health industries.