Cow's milk allergy (CMA) is a complex disorder. Numerous milk proteins have been implicated in allergic responses and most of these have been shown to contain multiple allergenic epitopes. There is considerable heterogeneity amongst allergic individuals for the particular proteins and epitopes to which they react, and to further complicate matters, allergic reactions to cow's milk are driven by more than one immunological mechanism. Finally, the incidence and dominant allergic mechanisms change with age, with IgE-mediated reactions common in infancy and non-IgE-mediated reactions dominating in adults. The complexity of CMA has lead to many public misconceptions about this disorder, including confusion with lactose intolerance and frequent self-misdiagnosis. Indeed, the prevalence of self-diagnosed CMA in the community is 10-fold higher than the clinically proven incidence, suggesting a sizable population is unnecessarily eschewing dairy products. Avoidance of dairy foods, whether for true or perceived CMA, carries with it nutritional consequences and the provision of appropriate nutritional advice is important. In this review, the epidemiology and natural course of CMA is discussed along with our current understanding of its triggers and immunological mechanisms. We examine current strategies for the primary and secondary prevention of allergic sensitization and the ongoing search for effective therapies to ultimately cure CMA.