Preterm birth is an increasing worldwide problem. Prematurity is the second most common cause of death in children under 5 years of age. It is associated with a higher risk of several pathologies in the perinatal period and adulthood. Maternal milk, a complex fluid with several bioactive factors, is the best option for the newborn. Its dynamic composition is influenced by diverse factors such as maternal age, lactation period, and health status. The aim of the present review is to summarize the current knowledge regarding some bioactive factors present in breastmilk, namely antioxidants, growth factors, adipokines, and cytokines, paying specific attention to prematurity. The revised literature reveals that the highest levels of these bioactive factors are found in the colostrum and they decrease along the lactation period; bioactive factors are found in higher levels in preterm as compared to full-term milk, they are lacking in formula milk, and decreased in donated milk. However, there are still some gaps and inconclusive data, and further research in this field is needed. Given the fact that many preterm mothers are unable to complete breastfeeding, new information could be important to develop infant supplements that best match preterm human milk.