The neonatal immune system has its own reactivity, constraints, and challenges, which profoundly differ from the adult. Breast milk is most probably a key requirement both for optimal immune function in early life and for imprinting of the immune system for long-term immune health. Here, we will highlight how breast milk fills the needs and the gaps of the developing immune system and thereby represents the unbeatable way to prevent infectious disease. We will further focus on some factors in breast milk that we extensively studied and found to actively influence the immune trajectory and long-term immune health. More specifically, we will review how the presence of allergens in breast milk together with maternal milk cofactors such as TGF-β, vitamin A, and immunoglobulins influence mucosal immunity in early life with long-term effects on allergic disease susceptibility. We will see that, depending on the content and the nature of allergens in breast milk as well as the presence of immune modulators, very different outcomes are observed, ranging from protection to an increased allergy risk. We are starting to decipher the specific requirements for the neonatal immune system to function optimally. We are discovering how breast milk fulfills these requirements and guides immune trajectories from early life. Answering these questions will provide the infant with preventive and curative approaches that are tailored to this very specific period of life and will ensure long-term immune health.