Whey-derived peptides have been associated with different biological properties, but most peptides are usually further hydrolyzed during the digestive process. In the present study, the antioxidant capacity of 48 samples of sweet whey (SW) derived from cheeses obtained from small-scale cheese plants made with bovine, ovine, caprine or a mixture of ovine/caprine milk was assessed using both cell-free and cell-based assays. SW digestates (SW-Ds) and a fraction (<3 kDa; SW-D-P3) thereof were obtained after in vitro digestion and subsequent ultrafiltration. Antioxidant properties using four different assays were evaluated before and after digestion. Our data showed higher values (p < 0.05) for ORAC, ABTS, FRAP and P-FRAP after in vitro digestion (SW-Ds and SW-D-P3) when compared with the corresponding values before digestion. In the non-digested SW, ORAC values were higher (p < 0.05) for the bovine SW compared with all the other samples. In contrast, the ABTS assay indicated a higher antioxidant activity for the ovine SW both before digestion and for SW-D-P3 compared with the bovine SW. The fraction SW-D-P3 of the ovine SW, using HT29 cells and H2O2 as an oxidizing agent, increased (p < 0.05) the cellular antioxidant activity. Furthermore, the same fraction of the ovine/caprine mixed SW increased, through the NF-κB pathway, the expression of SOD1 and CAT, genes implicated in the oxidative response in macrophage-like THP-1 cells. These findings indicate that SW, and particularly bovine and ovine SW, could be a candidate source for physical antioxidants in human and animal nutrition.