Milk proteins are excellent biomaterials for the modification and formulation of food structures as they have good nutritional value; are biodegradable and biocompatible; are regarded as safe for human consumption; possess valuable physical, chemical, and biological functionalities. Hydrogels are three-dimensional, cross-linked networks of polymers capable of absorbing large amounts of water and biological fluids without dissolving and have attained great attraction from researchers due to their small size and high efficiency. Gelation is the primary technique used to synthesize milk protein nanohydrogels, whereas the denaturation, aggregation, and gelation of proteins are of specific significance toward assembling novel nanostructures such as nanohydrogels with various possible applications. These are synthesized by either chemical cross-linking achieved through covalent bonds or physical cross-linking via noncovalent bonds. Milk-protein-based gelling systems can play a variety of functions such as in food nutrition and health, food engineering and processing, and food safety. Therefore, this review highlights the method to prepare milk protein nanohydrogel and its diverse applications in the food industry