The efficacy of many edible bioactive agents is limited by their low water dispersibility and chemical instability in foods, as well as by their poor bioaccessibility, low absorption, and metabolism within the human gastrointestinal tract. Whey proteins are amphiphilic molecules that can be used to construct a variety of edible carrier systems that can improve the performance of bioactive ingredients. These carrier systems are being used by the food and biomedical industries to encapsulate, protect, and deliver a variety of bioactive agents. In this article, we begin by providing an overview of the molecular and functional characteristics of whey proteins, and then discuss their interactions with various kinds of bioactive agents. The ability of whey proteins to be used as building blocks to assemble different kinds of carrier systems is then discussed, including nanoparticles, hydrogels, oleogels, bigels, nanofibers, nanotubes, and nanoemulsions. Moreover, applications of these carrier systems are highlighted. Different kinds of whey protein-based carriers can be used to encapsulate, protect, and deliver bioactive agents. Each kind of carrier has its own characteristics, which make them suitable for different application needs in foods and other products. Previous studies suggest that whey protein-based carriers are particularly suitable for protecting chemically labile bioactive agents and for prolonging their release profiles. In the future, it is likely that the applications of whey protein-based carriers in the food and pharmaceutical fields will expand.