Food waste and by-products have attracted attention in recent years due to the reduction of food resources and the negative impact on the environment of current production and consumption systems. However, food waste and by-products can be transformed into new products that can be useful for human consumption because they represent a source of nutritional and technological (e.g., preservative, colorant, fibres) added-value compounds. Those compounds of interest can be extracted using several advanced and/or emerging extraction techniques, which follow the green chemistry principles, and incorporated into food products. This is true for many types of foods; even dairy products of which cheese is one of the most appreciated and consumed worldwide. Therefore, cheese and dairy products can be effective vehicles for food waste and food by-products valorization. This review focuses on the opportunities for valuing various food wastes in the dairy sector, especially in cheese. It also highlights the contributions of recovered bioactive added-value compounds in enhancing the nutritional, technological, and sensory properties of dairy products. It is expected that food wastes could be used to improve functionalities of dairy products in the future, leading to innovative functional dairy food products to decrease the environmental footprint and simultaneously contribute to improve sustainability in the food sector.