Whey protein contains a wide range of bioactive components and has been found to have various functional properties including immunoenhancing, antibacterial, antiviral, anticancer, antidiabetic, muscle loss-preventing, and skin-protecting effects. However, as a high-quality dietary protein that can benefit human health, its application in health foods is restricted by particular product types and insufficient innovation. Therefore, this article provides a systematic and comprehensive review of the composition, digestion, absorption, metabolism, and functions of whey protein and its application in health products in China. This review hopes to improve the public’s understanding of the nutritional value of whey protein, broaden its application scope as a health product, and promote its applications in functional foods and clinical formulations and consequently the high-quality development of the health industry.