The consumption of cheese is rapidly increasing, driven by its diverse nutritional and functional benefits. Consumers are shifting toward functional, minimally processed cheese products, enjoyed both on their own and as ingredients in various foods. As cheese undergoes heating processes like grilling and baking, its functionality (e.g., melt, flow, and stretch) become crucial factors in evaluation of quality and desirability with respect to cooking performance and sensorial attributes, such as mouthfeel, visual appeal, and texture. Heat-induced structural changes, such as disruption of the casein network and milk fat globule membrane (MFGM), and fat redistribution, can accelerate digestion, modify nutrient and bioactive release, and influence lipid absorption. This review examines how different heating methods impact the physicochemical, functional, and health properties of cheese, particularly in relation to the cheese matrix effect. It further explores how temperature-induced changes influence the digestion, absorption, and bioavailability of nutrients and bioactive compounds, offering valuable insights into how these alterations affect the overall health benefits of cheese.