In the mature railroad era, so 1880-1920 in most of the country, farmers filled the iconic milk cans and left them on special platforms at their local station. Empty milk cans were returned to the outlying platforms for reuse by dairy farmers. Our slang term milk run for a train that stops at every small station derives from this practice. All big cities had "milksheds," areas generally 40 to 150 miles out that produced the milk needed by urban residents.

The cans were taken to local dairies in big cities, which typically had very local distribution and advertising until the need to investment in pasteurization equipment led to dramatic industry consolidation in the mid-20th century.

This answer is mostly about England.

Cheese by boat

Improvements in agricultural methods meant that by the second half of the seventeenth century, farmers working favourable land regularly generated milk surpluses. Boat-based goods transportation was improving significantly due to better coastal navigation and an expanding network of canals - but it wasn’t fast enough to transport fresh milk to many cities, especially London, from the areas which produced most milk. (It is thought that even in the late 18th century, fresh milk could only be transported roughly 10 miles for sale (Scola, 1992)). So farmers used the surplus milk to make butter and cheese. Cheese, especially, kept longer, and was easier to move around. Perhaps surprisingly, in the late 17th and early 18th century, the source of a significant amount of the cheese sold in London was Cheshire (the county immediately south of Manchester, and south-east of Liverpool, about 150 miles from London). It is a prime dairy-farming area, and when another such area, Suffolk (a county about 80 miles north east of London) experienced a dip in production in the 1640s due to floods and cattle disease, Cheshire cheesemongers took advantage to increase their business. Farmers in the area clubbed together to produce larger cheeses that were easier to transport to cities. The cheese was shipped to London from Chester and Liverpool round the coast via inshore waters. Most of it was sold simply as Cheshire cheese, which was the commonest cheese, rather like Cheddar is now: in 1729, 55% of recorded cheese received by one London port official was Cheshire. (Blundel & Tregear, 2006)

It was a pretty big business, with some modern-sounding problems:

By the late seventeenth century, the trade between Cheshire and the capital was dominated by only nine cheesemongers, an indication of the increasing concentration taking place during this period. The cheesemongers often developed close relationships with sea captains that, by the eighteenth century, included the joint ownership of merchant ships. However, their success in creating these large and complex supply networks market was accompanied by accusations of unfair pressure being applied to farmers.

The authors note that the Netherlands had a similarly commercial cheese production by this time, especially in Gouda, near the major cities (Gouda was also exported to England), but it wasn’t that way everywhere in Western Europe. The Low Countries and England contrasted with France, where “polycultural farming systems and localized supply chains were the norm and production practices were still largely determined by location-specific factors, such as the seasonal transhumance of mountain areas” (Blundel & Tregear, 2006).

(It was in the 1850s that cheese-making started trying to industrialise, using scientifically-developed techniques – applied especially to Cheddar, which suited them well - although these operations were not on the same scale as in North America and New Zealand, as the English cheese factories took on seasonal surpluses, rather than for steady production.(Blundel & Tregear, 2006).)

Town dairies

While surplus milk from the big dairy-producing areas in the countryside was being made into butter and cheese, fresh milk for many cities came from town dairies. These were found, among other places, in London, and in Liverpool, which was surrounded by arable districts (Scola, 1992). Although urban cows were not always kept in the most salubrious conditions, their milk was preferred because it was fresher than that brought in from out of town and shaken about on the journey, with no refrigeration.

In London in the first half of the 19th century, milk was not so much of a staple as through the 20th century; its purchase was “casual… or occasional” in small quantities, so it didn’t spoil, or for catered treats like cream teas. From the 18th century to the 1840s, milk was predominantly sold by independent milkmaids, often of Welsh or Irish backgrounds, who were contracted to milk the urban cows themselves (Atkins, 1980).

Fast spring carts brought milk to London from as far as 20 miles away, but it had deteriorated by the time it arrived. Late 18th and early 19th century Manchester, meanwhile, was adjacent to more dairy-farming areas than many cities and got most of its fresh milk from nearby parts of Lancashire, whereas Cheshire’s was used predominantly for cheese. Milk had once been carried to Manchester by pack horse, then by horse and cart, and by the early 19th century, there are accounts of large quanities of milk brought in by canal, with hundreds of churns stacked at the wharves. (Scola, 1992).