Infant formulas have been shown to influence the development of the gut microbiota. Besides the probiotic- and prebiotic-containing formulas, fermented milk-based infant formulas offer an additional means for modulation of gut immunity and/or gut microbiota. These formulas are produced by the fermentation of cow's milk with specific lactic acid bacteria strains, followed by heat treatment; they do not contain viable bacteria or added prebiotic oligosaccharides but contain specific products resulting from the fermentation process. This review is focused on the effects of fermentation products, distinguishing them from those of living bacteria and prebiotic compounds on the immune system. Besides the possible modulation of gut microbiota composition, in vitro and in vivo studies suggest that specific fermentation products can actively participate in the establishment of immune balance and oral tolerance. Although further research is needed to confirm the clinical benefits observed in infants to better characterize the active fermentation compounds and to delineate the involved pathways, these fermented formulas appear to deserve interest.