As the main allergens in milk, whey proteins are heat-sensitive proteins and are widespread in dairy products and items in which milk proteins are involved as food additives. The present work sought to investigate the effect of heating sterilization on the allergenicity of α-lactalbumin (α-LA) and β-lactoglobulin (β-LG), the main composite and allergen in whey protein isolate (WPI), by combining molecular dynamics with experimental techniques for detecting the spatial structure and IgE binding capacity. The structure of WPI was basically destroyed at heat sterilization conditions of 95 °C for 5 min and 65 °C for 30 min by SDS-PAGE analysis and spectroscopic analysis. In addition, α-lactalbumin (α-LA) may be more sensitive to temperature, resulting in exposure to allergic epitopes and increasing the allergic potential, while the binding capacity of β-lactoglobulin (β-LG) to IgE was reduced under 65 °C for 30 min. By the radius of gyration (Rg) and root-mean-square deviation (RMSD) plots calculated in molecular dynamics simulations, α-LA was less structurally stable at 368 K, while β-LG remained stable at higher temperatures, indicating that α-LA was more thermally sensitive. In addition, we observed that the regions significantly affected by temperatures were associated with the capacity of allergic epitopes (α-LA 80–101 and β-LG 82–93, 105–121) to bind IgE through root-mean-standard fluctuation (RMSF) plots, which may influence the two major allergens. We inferred that these regions are susceptible to structural changes after sterilization, thus affecting the allergenicity of allergens.