Lactoferrin is one of the most represented and important bioactive proteins in human and mammal milk. In humans, lactoferrin is responsible for several actions targeting anti-infective, immunological, and gastrointestinal domains in neonates, infants, and young children. Evidence-based data vouch for the ability of supplemented lactoferrin to prevent sepsis and necrotizing enterocolitis in preterm infants and to reduce the burden of morbidity related to gastrointestinal and respiratory pathogens in young children. However, several issues remain pending regarding answers and clarification related to quality control, correct intakes, optimal schedules and schemes of supplementations, interactions with probiotics, and different types of milk and formulas. This review summarizes the current evidence regarding lactoferrin and discusses the areas in need of further guidance prior to the adoption of strategies that include a routine use of lactoferrin in neonates and young children.