Sheep’s milk exerts a number of biological effects that influence metabolic reactions and disease resistance. Sheep’s milk contains the highest level of casein, whey protein and conjugated linoleic acid isomers (CLA), which stimulate the immune system, and have “anti-obesity”, “antidiabetic” and “anticancer” properties. Sheep’s milk is an excellent source of protein and group B vitamins, which ensure the proper functioning of the nervous system. Proline-rich polypeptide partially reverses neurodegenerative changes and has immunoregulatory and pro-cognitive properties. CLA isomers also reduce oxidative stress and mitochondrial dysfunction in the brain, which may be important in neurodegenerative diseases such as Alzheimer’s disease. Sheep’s milk shows the highest inhibitory activity of angiotensin converting enzyme, which is crucial in preventing SARS-CoV-2 infection. Systemic inflammation is a common factor in atherosclerosis and COVID-19. Polar lipids present in sheep’s milk lower inflammatory biomarkers and reduce the development of atherosclerosis. Therefore, dairy products can be used to help prevent COVID-19 disease. Sheep’s milk and its products containing bioactive substances may be promising ingredients for the production of health-promoting functional foods.