Milk proteins are used to make emulsions, and maybe used to make nanoemulsions. Nanoemulsions are a nanotechnology with food applications, and possess superior physicochemical and sensorial properties compared to macro- and microemulsions. They are also able to deliver bioactive compounds when consumed. In this review, three aspects of food nanoemulsions will be examined: (1) the production and properties of food nanoemulsions, (2) emulsifiers/surfactant (ionic, non-ionic, phospholipid, polysaccharide, and protein) used in nanoemulsions production. The suitability of proteins and protein hydrolysates as nanoemulsifiers is discussed, with a particular focus on whey protein, (3) the potential of whey protein derived peptides as both emulsifiers and bioactive compounds in nanoemulsions delivery systems. Lastly, the potential delivery of bioactive peptides and other bioactive compounds within nanoemulsion systems is also discussed.