Milk whey processing wastewaters (MWPWs) are characterized by high COD and organic nitrogen content; the concentrations of phosphorus are also relevant. A microalgal-based process was tested at lab scale in order to assess the feasibility of treating MWPW without any dilution or pre-treatment. Different microalgal strains and populations were tested. Based on the obtained results, Scenedesmus acuminatus (SA) and a mixed population (PM) chiefly made of Chlorella, Scenedesmus, and Chlamydomonas spp. were grown in duplicate for 70 days in Plexiglas column photobioreactors (PBRs), fed continuously (2.5 L culture volume, 7 days hydraulic retention time). Nutrient removal, microalgae growth, photosynthetic efficiency, and the composition of microalgal populations in the columns were monitored. At steady state, the microalgal growth was similar for SA and PM. The average removal efficiencies for the main pollutants were: 93% (SA), 94% (PM) for COD; 88% (SA) and 90% (PM) for total N; and 69% (SA) and 73% (PM) for total P. The residual pollution levels in the effluent from the PBRs were low enough to allow their discharge into surface waters; such good results were achieved thanks to the synergy between the microalgae and bacteria in the CO2 and oxygen production/consumption and in the nitrogen mineralization.