Whey protein is a byproduct of cheese, casein, and Greek yogurt produced in Europe, North America, and Australasia. It is a substantial source of functional proteins and peptides for the worldwide food industry. α-Lactalbumin (α-La) is a globular protein that can be isolated from WPI (whey protein isolates) using techniques such as chromatography/gel filtration, membrane separation, etc. α-La is used in the elaboration of functional foods and is a very good source of peptides with anticancer, antimicrobial, antiviral, antihypertensive, immunomodulating, opioid, mineral-binding, and antioxidant bioactivities. Nanotubes and nanoparticles generated from this protein are utilized as vehicles for the transport of active compounds, and thus, can be used in foods and pharmaceutical industries. The contaminant effects of whey, characteristics of α-La, production technologies, and its applications in nanotechnology are reviewed here.