The presence of cosmic rays in our galaxy can be tracked with neutral messengers, such as photons and neutrinos. Photons are observed at various wavelengths, and gamma-ray observations from GeV to PeV scales have given an important insight on the behaviour of charged particles in the Milky Way. However, both leptonic - photon emission from processes involving electrons - and hadronic - emission coming from proton or nuclei interactions - mechanisms can be used to explain the observed gamma-ray flux in many different high-energy individual sources. On the other hand, neutrinos can only be produced in hadronic processes where protons or nuclei in the cosmic ray flux interact in the interstellar matter and radiation fields. For this reason, neutrinos are the ideal probe to test cosmic-ray physics at their sources. On top of the neutrino emission from individual sources, a guaranteed flux of cosmic neutrinos is expected from cosmic rays that reside, propagate, and interact in the Milky Way. This is already visible in high-energy photon surveys of the Galactic Plane, and such flux has been already clearly attributed to cosmic rays interacting in the denser inner regions of the galaxy. The observation of neutrinos from the same regions would provide an additional source of information on the properties of galactic cosmic rays, also allowing to study them far away from Earth, where measurements are currently done, since neutrinos can travel undeflected and unabsorbed over such large distances. In this contribution, a review of searches for cosmic neutrinos in the Milky Way is provided.