One important industry that depends heavily on enzymes is the dairy sector. The food sector makes use of a range of enzymes to produce and improve the milk products’ yield, color, aroma, and flavor of milk products. Due to their complementary functional qualities, the food industry is increasingly emphasizing dairy products’ usage of fats and edible oils. Since most of these items are created by regulations that require moderate and ecologically friendly processes, food-grade enzymes are employed in manufacturing most of these items as aids for processing. Enzymes are commonly immobilized, which entails attaching them to a solid substrate, to improve their stability, reusability, and activity. This is because enzymes’ efficacy is limited by their inability to stabilize and recover in their initial stage. Furthermore, immobilization makes enzymes extremely efficient, targeting particular substrates or products precisely. Due to these advantages, immobilized enzymes are now more frequently used in the dairy and lipid processing industries. These enzymes can make a wide range of products, including structured lipids, peptide–lipid conjugates, whey protein isolates and concentrates, and alternatives to human milk fat. In certain dairy products made from raw milk, fungi are allowed or even required. They are extensively utilized in some cheeses, such as Camembert, and Roquefort. Thus, the present state of research on various enzyme preparations and the processing of dairy applications is reviewed. In addition, it summarizes the potential for valorizing dairy and lipid waste streams through enzyme-catalyzed processes, ultimately leading to waste reduction and sustainable food production.