Anaerobic treatment is a viable alternative for the treatment of agro-industrial waste. Anaerobic digestion reduces organic load and produces volatile fatty acids (VFA), which are precursors of value-added products such as methane-rich biogas, biohydrogen, and biopolymers. Nowadays, there are no low-cost diagnosis and monitoring systems that analyze the dynamic behavior of key variables in real time, representing a significant limitation for its practical implementation. In this work, the feasibility of using the multiscale analysis to diagnose and monitor the key variables in VFA production by anaerobic treatment of raw cheese whey is presented. First, experiments were carried out to evaluate the performance of the proposed methodology under different operating conditions. Then, experimental pH time series were analyzed using rescaled range (R/S) techniques. Time-series analysis shows that the anaerobic VFA production exhibits a multiscale behavior, identifying three characteristic regions (i.e., three values of Hurst exponent). In addition, the dynamic Hurst exponents show satisfactory correlations with the chemical oxygen demand (COD) consumption and VFA production. The multiscale analysis of pH time series is easy to implement and inexpensive. Hence, it could be used as a diagnosis and indirect monitoring system of key variables in the anaerobic treatment of raw cheese whey.