The native whey proteins have been intensively used in a multitude of food applications due to their high nutritional, biological, and versatile technofunctional properties. The range of applications of whey proteins has further been extended in the last decades by the use of whey protein aggregates offering new technofunctional properties. These properties are directly dependent on the structure of whey protein aggregates, i.e., their size, shape, density, surface properties, and the type of bonds maintaining proteins together in the aggregates. In this review, after a brief description of the major whey proteins, we examine the most important advances reported to date pertaining to the available approaches to modify the structure of whey proteins for specific functionalities. Our laboratory, Science and Technology of Milk and Eggs, has contributed significantly to the advancement of knowledge on the structure-function relationships of whey proteins either in the native or denatured/aggregated forms. Our expertise and research approaches are highlighted throughout some selected results accumulated during the last decade in comparison with results from the literature.