Dairy is recognized as a good source of calcium, which is important for preventing osteoporosis. However, the relationship between milk and bone health is more complex than just calcium supplementation. It is unwise to focus solely on observing the effects of a single nutrient. Lactose, proteins, and vitamins in milk, as well as fatty acids, oligosaccharides, and exosomes, all work together with calcium to enhance its bioavailability and utilization efficiency through various mechanisms. We evaluate the roles of dairy nutrients and active ingredients in maintaining bone homeostasis from the perspective of the dairy matrix effects. Special attention is given to threshold effects, synergistic effects, and associations with the gut-bone axis. We also summarize the associations between probiotic/prebiotic milk, low-fat/high-fat milk, lactose-free milk, and fortified milk with a reduced risk of osteoporosis and discuss the potential benefits and controversies of these dairy products. Moreover, we examine the role of dairy products in increasing peak bone mass during adolescence and reducing bone loss in old age. It provides a theoretical reference for the use of dairy products in the accurate prevention and management of osteoporosis and related chronic diseases and offers personalized dietary recommendations for bone health in different populations.