Milk and its derivatives are included in a balanced diet of humans as excellent sources of proteins, vitamins, and essential minerals that are functional nutrients. Knowledge about the nutritional benefits or harms due to milk consumption has been expanding in recent years. We previously explored, in rodent models, the metabolic effects of isoenergetic intake of milk derived from cows, donkeys, or humans, while the impact of goat’s milk intake has remained unexplored. The aim of this work was to investigate, in an animal model, the effects of dietary supplementation with goat’s milk on energy homeostasis and inflammatory state, focusing on the modulation of mitochondrial functions in most metabolically active organs, such as skeletal muscle and the liver. In addition, we highlighted a link between nutrient intake, substrate metabolism, and the orexinergic system. Our results indicate that goat milk improves mitochondrial oxidative capacity and reduces inflammation and oxidative stress in both organs. Notably, goat milk lowers the circulating levels of Orexin-A, a neuropeptide that plays a crucial role in regulating peripheral energy balance and central nervous system mechanisms. These data provide the first evidence that the anti-inflammatory and antioxidant effects of goat milk are mediated by the modulation of mitochondrial functions and orexinergic signaling.