Cheese is a widely consumed dairy product with high saturated fatty acids (SFA) content, and with other high nutritional quality components. Due to the link of SFA and different diseases, many studies have replaced the cheese fat content with unsaturated fatty acids (UFA) rich sources to improve its nutritional quality. The fat replacement has physicochemical, textural, and sensory effects on dairy matrix. To the food science is mandatory to know which technological strategies of milk processing improve the quality of the end products. The most relevant results reveal that fish oil (FO) and flaxseed oil (FSO) have been the most researched UFA-rich sources, microencapsulation has been the most studied incorporation technology because it allows the oil entrapment with minimal effects on the cheese quality, and non-thermal technologies allow greater UFA fortification in cheese, improving its nutritional quality. Finally, the development of fortified cheeses with UFA-rich sources has been found as an innovative strategy to obtain high quality products with functional potential.