The milk fat globule membrane (MFGM) contains bioactive proteins, carbohydrates, and lipids. Polar lipids found in the MFGM play a critical role in maintaining cell membrane integrity and neuronal signalling capacity, thereby supporting brain health. This review summarises the literature on the MFGM and its phospholipid constituents for improvement of mental health across three key stages of the human lifespan, i.e., infancy, adulthood, and older age. MFGM supplementation may improve mental health by reducing neuroinflammation and supporting neurotransmitter synthesis through the gut–brain axis. Fortification of infant formula with MFGMs is designed to mimic the composition of breastmilk and optimise early gut and central nervous system development. Early behavioural and emotional development sets the stage for future mental health. In adults, promising results suggest that MFGMs can reduce the negative consequences of situational stress. Preclinical models of age-related cognitive decline suggest a role for the MFGM in supporting brain health in older age and reducing depressive symptoms. While there is preclinical and clinical evidence to support the use of MFGM supplementation for improved mental health, human studies with mental health as the primary target outcome are sparce. Further high-quality clinical trials examining the potential of the MFGM for psychological health improvement are important.