Active ingredients can be supplemented into a bakery product to produce functional food. However, the preservation of the functionality of these active ingredients during baking remains a challenge for food industry. A deeper understanding of the underlying interactions between functionality and baking is highly desired for developing innovative functional bakery products with significant health benefits and high product quality. In this work, recent advances in the development of functional bakery products are reviewed. The interactions between the baking process and the functionality of the supplemented active ingredients are discussed and the perspective of future research is addressed.