Halloumi is a Cypriot cheese traditionally made from goat’s and sheep’s milk, or a mixture of the two. Cow’s milk is sometimes used. It’s most appreciated as a grilling cheese because it maintains its shape when heated and grills well. Halloumi is moderately high in fat and a good source of protein. It’s rich in calcium and is also a source of zinc, magnesium, vitamin A, and B vitamins.