Whey, a component of milk and a useful by-product of the dairy industry’s casein and cheese-making, has been used for generations to augment animal feed. It contains a range of proteins, including α-lactalbumin, β-lactoglobulin, bovine serum albumin, heavy and light chain immunoglobulins, lactoferrin, glycomacropeptide, and lactoperoxidase. Whey proteins exhibit great potential as biopolymers for creating bioactive delivery systems owing to their distinct health-enhancing characteristics and the presence of numerous amino acid groups within their structures. Whey has considerable factors such as antitumor, anti-inflammatory, antihypertensive, hypolipidemic, antiviral, and antibacterial properties in addition to chelating. The global market of whey protein stood at USD 5.33 billion in 2021, with a projected compound annual growth rate of 10.48% spanning the interval from 2022 to 2030. The escalating demand for whey protein is intrinsically linked to the amplifying consciousness surrounding healthy lifestyles. Notably, protein supplements are recurrently endorsed by fitness and sports establishments, thereby accentuating the focal point of customers toward whey protein. This review focuses on nutritional composition, whey bioactives, and their bioavailability with potential health benefits.