Anthocyanins (ACN) are natural pigments that produce bright red, blue, and purple colors in plants and can be used to color food products. However, ACN sensitivity to different factors limits their applications in the food industry. Whey protein (WP), a functional nutritional additive, has been shown to interact with ACN and improve the color, stability, antioxidant capacity, bioavailability, and other functional properties of the ACN-WP complex. The WP's secondary structure is expected to unfold due to heat treatment, which may increase its binding affinity with ACN. Different ACN structures will also have different binding affinity with WP and their interaction mechanism may also be different. Circular dichroism (CD) spectroscopy and Fourier transform infrared (FTIR) spectroscopy show that the WP secondary structure changes after binding with ACN. Fluorescence spectroscopy shows that the WP maximum fluorescence emission wavelength shifts, and the fluorescence intensity decreases after interaction with ACN. Moreover, thermodynamic analysis suggests that the ACN-WP binding forces are mainly hydrophobic interactions, although there is also evidence of electrostatic interactions and hydrogen bonding between ACN and WP. In this review, we summarize the information available on ACN-WP interactions under different conditions and discuss the impact of different ACN chemical structures and of WP conformation changes on the affinity between ACN and WP. This summary helps improve our understanding of WP protection of ACN against color degradation, thus providing new tools to improve ACN color stability and expanding the applications of ACN and WP in the food and pharmacy industries.