Whey is a by-product of cheese production. The relevant chemical composition of whey proteins makes them an ideal substrate to release peptides with biological activity. The objective of this manuscript was to analyze and discuss the effects of whey-derived proteins bioactive peptides in health. Moreover, this review shows in detail sequences able to benefit human systems. Several in vitro and in vivo studies showed the capacity of these bioactive peptides to positively influence cardiovascular, endocrine and immune systems. However, the methodologies to obtain them in a controlled way, as well as dose and optimum concentrations have been scarcely explored. Therefore, it is necessary to conduct new research to improve knowledge that focuses on the possibility of using whey-derived bioactive peptides in the prevention and treatment of diseases.