Ligand-binding properties of β-lactoglobulin (β-lg) are well documented, but the subsequent biological functions are still unclear. Focusing on fatty acids/β-lg complexes, the structure-function relationships are reviewed in the light of the structural state of the protein (native versus non-native aggregated proteins). After a brief description of β-lg native structure, the review takes an interest in the binding properties of native β-lg (localization of binding sites, stoichiometry, and affinity) and the way the interaction affects the biological properties of the protein and the ligand. The binding properties of non-native aggregated forms of β-lg that are classically generated during industrial processing are also related. Structural changes modify the stoichiometry and the affinity of β-lg for fatty acids and consequently the biological functions of the complex. Finally, the fatty acid-binding properties of other whey proteins (α-lactalbumin, bovine serum albumin) and some biological properties of the complexes are also addressed. These proteins affect β-lg/fatty acids complex in whey given their competition with β-lg for fatty acids.