Cow's milk (CM) and hen's egg allergies are among the most common food allergies in children. With evidence of increasing food allergy prevalence and more persistent disease, it has become vital to improve the management of CM and egg allergies. The ability to tolerate baked milk or egg, such as in a cake or muffin, has been associated with an increased chance of tolerance development. Studies report that about 70% of CM- and egg-allergic children can tolerate baked milk or egg and that incorporating baked milk or egg into the diet is well tolerated. Being able to add baked milk or egg into the diet can also increase quality of life by expanding the diet, boosting nutrition, and promoting inclusion in social activities. There is some debate over how baked milk and egg should be introduced, at home or in a supervised setting. Anaphylaxis and treatment with epinephrine during baked milk or egg challenges have been reported. Study of potential biomarkers to predict tolerability of baked milk and egg, such as serum specific IgE levels and skin prick test wheal diameters, is ongoing. Many parents can reliably report that their CM- or egg-allergic child is already consuming baked goods without symptoms. However, for those who cannot report such tolerance, the most prudent approach is to perform a supervised oral food challenge to determine the tolerability of baked milk and egg. The purpose of this article was to review the pathophysiology, clinical data, and safety of baked milk and egg and provide a practical guide to managing CM allergy and/or egg allergy. Recipes for baked milk and egg challenges and guidance on how to add baked milk and egg if tolerated to the child's regular diet are provided.