Whey proteins, a group of acid-soluble proteins, represent approximately 20 % of the total protein in bovine milk. The two main proteins, β-lactoglobulin (18.3 kDa) and α-lactalbumin (14.2 kDa) have been the subject of numerous studies. The purpose has mostly been to elucidate and exploit potential structure/function relationships. Both proteins provide high nutritional value and are utilised in the production of nutritional beverages such as infant formula and energy drinks. In addition, β-lactoglobulin offers a range of useful techno-functional properties, such as thickening, emulsification, gelation or foaming. Exposure of whey proteins to heat is a common industrial processing step that causes structural changes in proteins and that can lead to increases in viscosity and/or formation of potentially extensive gel networks above a critical protein concentration. This chapter describes such heat-induced unfolding, denaturation and aggregation processes, and their kinetics, as well as cases of ordered protein structures such as fibrils or nanoparticles. Heat-induced and cold gelation of whey proteins is also described. Gel formation is brought about by the assembly of soluble aggregates formed during the initial stages of heating. Such gel networks develop through electrostatic, hydrophobic and covalent interactions between denatured whey proteins. The micro- and macro-structure of whey protein gels vary widely and are dependent on the nature of the aggregation processes involved. The influence of protein type and concentration, salt type and ionic strength, pH and heating conditions on the above processes are reviewed