Whey proteins are obtained from dairy industry waste. Studies involving the analysis of the bioactive compounds in whey show health benefits, as it is an excellent source of indispensable amino acids. Milk whey contains principally β-lactoglobulin, α-lactoglobulin, bovine serum albumin, and lactoferrin, proteins with innumerable functional and technological properties. One application of these proteins in food is the formation of interpolymer complexes, along with other proteins or anionic polysaccharides. The formation of complexes occurs mainly through electrostatic interactions between a negatively charged biopolymer and a positively charged biopolymer. This formation is influenced by factors such as pH, ionic strength, and biopolymer ratio. Because they do not use high temperatures and chemical reagents and have additional nutritional and functional value, these complexes have been used as encapsulating agents for bioactive ingredients. Recent studies on their training and applications are addressed in this review to boost new research and applications in the food industry, thus increasing opportunities for utilizing whey proteins.