Functional properties and biological activities of plant-derived polyphenolic compounds have gained great interest due to their epidemiologically proven health benefits and diverse industrial applications in the food and pharmaceutical industry. Moreover, the food processing conditions and certain chemical reactions such as pigmentation, acylation, hydroxylation, and glycosylation can also cause alteration in the stability, antioxidant activity, and structural characteristics of the polyphenolic compounds. Since the (poly)phenols are highly reactive, to overcome these problems, the formulation of a complex of polyphenolic compounds with natural biopolymers is an effective approach. Besides, to increase the bioavailability and bioaccessibility of polyphenolic compounds, milk proteins such as whey protein concentrate, sodium caseinate, and milk protein concentrate act as natural vehicles, due to their specific structural and functional properties with high nutritional value. Therefore, milk proteins are suitable for the delivery of polyphenols to parts of the gastrointestinal tract. Therefore, this review reports on types of (poly)phenols, methods for the analysis of binding interactions between (poly)phenols–milk proteins, and structural changes that occur during the interaction.