The color stability of anthocyanins (ACN) has been shown to be improved by interaction with whey proteins (WP). In this study, we explore the ACN–WP interaction using Fourier transform infrared spectroscopy (IR). ACN from purple corn, grape, and black carrot (50 μM) were evaluated. IR spectra (4000–700 cm−1) were collected for native and preheated (40–80 °C) WP (5 mg/mL) and ACN–WP mixtures at pH 7.4. Soft independent modeling of class analogy was used to analyze the IR data. The WP secondary structure changed after heat treatments and after interaction with ACN. As expected, the WP α-helices decreased, and β-sheet increased after heat treatment. The intensities of the WP amide I and II bands decreased after ACN addition, revealing a decrease in the WP α-helix content. Higher preheating temperatures (70–80 °C) resulted in a more disordered WP structure that favored stronger WP–ACN interactions related to amide III changes. Addition of ACN stabilized WP structure due to heat denaturation, but different ACN structures had different binding affinities with WP. WP structure had less change after interaction with ACN with simpler structures. These results increase our understanding of ACN–WP interactions, providing a potential strategy to extend anthocyanin color stability by WP addition.