This study aimed to clarify the composition and bioactivity differences between goat and cow milk fat globule membrane (MFGM) protein by proteomic, and the immunomodulatory activity of MFGM proteins was further evaluated by using mouse splenic lymphocytes in vitro. A total of 257 MFGM proteins showed significant differences between goat and cow milk. The upregulated and unique MFGM proteins in goat milk were significantly enriched in the positive regulation of immune response, negative regulation of Interleukin-5 (IL-5) secretion, and involved in nucleotide-binding oligomerization domain (NOD)-like receptor signaling. The contents of IL-2 and Interferon-γ in the supernatant of spleen lymphocytes treated with goat MFGM proteins were much higher than those of IL-4 and IL-5, suggesting a Th1-skewed immune response. These results revealed that goat MFGM proteins could possess better immunomodulatory effects as compared to cow milk. Our findings may provide new insights to elucidate the physiological functions and nutritional of goat milk.