Milk is a source of bioactive compounds essential for the health and growth of newborns. Donkey milk, rich in lactose and whey proteins, has been proven to be a good breast milk substitute during infancy and adequate nourishment for patients with cow milk protein allergy. Besides, this milk is gaining a growing interest in human nutrition because of some other alleged health benefits. It shows antibacterial activity toward a wide range of Gram-positive and Gram-negative bacteria, stimulates the immune system in convalescence, regulates gastrointestinal flora, and prevents inflammatory and autoimmune diseases. As regards its antimicrobial properties, although all the milk components might contribute to this activity, the whey protein fraction of donkey milk is generally believed to play the main role. The aim of this review is to highlight the antimicrobial properties of donkey milk with a special focus on the whey protein fraction. The effects of preservation and processing treatments on whey protein content and antimicrobial activity are also discussed.