Eggs are widely recognized as a highly nutritious food source that offers specific health benefits for humans. Eggs contain all of the proteins, lipids, vitamins, minerals, and growth factors necessary for embryonic development. In particular, egg white and yolk proteins are considered functional food substances because they possess biological activities such as antimicrobial, antioxidant, metal-chelating, antihypertensive, anticancer, and immunomodulatory activities. Peptides produced via processes such as enzymatic hydrolysis, fermentation by microorganisms, and some chemical and physical treatments of egg proteins have been shown to enhance the functional properties and solubility of these peptides. Peptide activity is strongly related to amino acid sequence, composition, and length. At present, cancer remains among the leading causes of mortality worldwide, and therefore research aimed at developing new treatments for cancer immunotherapy is of great interest. The present review focuses primarily on the anticancer and immunomodulatory activities of egg proteins and their peptides and provides some insight into their underlying mechanisms of action. A number of egg proteins and peptides have been reported to induce apoptosis in cancer cells, protect against DNA damage, decrease the invasion ability of cancer cells, and exhibit cytotoxic and antimutagenic activity in various cancer cell lines. Furthermore, egg proteins and peptides can stimulate or suppress pro- or anti-inflammatory cytokines, as well as affect the production of inflammatory mediators in a variety of cell lines. In addition, the composition of eggs and the processes of egg proteins and peptides production will be discussed.