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Peer-reviewed Obesity develops due to energy (food) intake exceeding energy expenditure. Nutrients that reduce the positive energy balance are thus being considered as therapies to combat obesity. Here, we review the literature related to the physiological, cellular and endocrine effects of intake of whey proteins, namely α-lactalbumin, β-lactoglobulin, glycomacropeptide and lactoferrin. Moreover, we discuss how dietary composition and obesity may influence whey protein effects on the above parameters. Evidence suggests that intake of whey proteins causes a decrease in energy intake, increase in energy expenditure, influence insulin sensitivity and glucose homeostasis and alter lipid metabolism in the adipose, liver and muscle. These physiological changes are accompanied by alterations in the plasma levels of energy balance related hormones (cholecystokinin, ghrelin, insulin and glucagon-like peptide-1) and the expression of catabolic and anabolic genes in the above tissue in the direction to cause a negative energy balance.