Fat is an important component of human milk and infant formula (IF), delivering half of the energy a baby needs. Nowadays, mostly vegetable fats are used in IFs; however, the use of bovine milk fat in formulas is currently increasing. Bovine milk fat contains a composition of fatty acids and lipid components different from those of vegetable fats. We have compared the lipid profile of human and bovine milk with infant formulas with different fat sources. Furthermore, current knowledge of how infant digestion, absorption, metabolic responses, gut immunity, microbiota and/or cognition is affected by dietary fat is reviewed. The possible opportunities and drawbacks of the application of bovine milk fat in infant nutrition are described. Future perspectives for the development of IF containing bovine milk fat and future research directions are highlighted.