Whey, which remains a by-product after coagulation of casein in ruminants milk during cheese production, contains a wide variety of proteins characterised by high nutritional value as well as attractive functional and biological properties. For this reason, their use has been steadily increasing both in prevention and therapy of many diseases, especially those diet-related. In this aspect they meet all the criteria set for nutraceuticals, i.e. substances of both nutritional and pharmaceutical value used for the production of functional foods. In this article, the properties of major whey proteins and products of their modifications, including β-lactoglobulin, α-lactalbumin, glycomacropeptide, immunoglobulins, serum albumin, lactoferrin, lactoperoxidase, lysozyme and osteopontin are presented.