Lipids are an important class of biological molecules that possess many critical physiological functions, which enable the optimal survival of all organisms, including humans. While the role of lipids in the formation of biological cellular membranes and as a source of energy is fairly well understood, the cellular signalling pathways that lipids modulate in mammals are, in comparison, poorly characterized mechanistically and/or largely unknown. In an effort to dissect these mammalian cellular pathways regulated by signalling lipids and map hitherto unknown protein–lipid interactions, the last two decades have seen tremendous progress in the development of multifunctional lipid probes that, in conjunction with well-established bioorthogonal chemistries and chemoproteomics platforms, has almost exponentially expanded our knowledge in this field. In this review, we focus on the various photoreactive bioorthogonal lipid probes described in the literature, and briefly summarize the different photo-crosslinking groups and bioorthogonal chemistries used by them. Furthermore, we report specific case examples of such photoreactive bioorthogonal lipid probes, and discuss the new biological pathways and insights that have emerged from their use through chemoproteomics in mammalian cells. Finally, we highlight the challenges associated with the use of lipid probes in biological systems, and highlight their importance in the discovery and mechanistic understanding of lipid signalling pathways in the years to come.