The consumption of fat raises the risk of coronary heart disease and a number of chronic diseases such as obesity. However, removing fat or reducing its level in the final product may give it undesirable properties since fat plays an important role in the quality of food, mainly its texture and flavor. Therefore, natural or artificial fat replacers are utilized in food formulations instead of natural fat. Fat mimics are based on carbohydrates, proteins, and/or lipids, with energy values of 0–38 kJ/g (0–9 kcal/g). They mimic physical properties and sensory attributes of fat but have less energy and calories. Fat substitutes have physical and functional characteristics of conventional fat molecules which are directly replaced with synthetic molecules that provide no calories or structured lipid molecules. Dairy products represent a principal part of consumer diet all over the world. Therefore, this review aimed to expound how fat replacers can be used to overcome the defects of fat absence or reduction in dairy products. It was reviewed different types and sources of fat replacers, both micro- and nanoparticulated, and highlighted their application in cheese, ice cream, frozen yogurt, fermented milk, and fatty dairy products. Some of the currently applied micro-particulated proteins include Simplesse® (whey protein), APV LeanCreme™, and Dairy-Lo® (micro-particulate protein + micro-particulate cellulose). While whey protein has a great role in the dairy sector today, there is a need for further research in this field.