Whey, a major by-product of cheese production, is primarily composed of whey protein (WP). To mitigate environmental pollution, it is crucial to identify effective approaches for fully utilizing the functional components of whey or WP to produce high-value-added products. This review aims to illustrate the active substances with immunomodulatory, metabolic syndrome-regulating, antioxidant, antibacterial, and anti-inflammatory activities produced by whey or WP through fermentation processes, and summarizes the application and the effects of whey or WP on nutritional properties and health promotion in fermented foods. All these findings indicate that whey or WP can serve as a preservative, a source of high-protein dietary, and a source of physiologically active substance in the production of fermented foods. Therefore, expanding the use of whey or WP in fermented foods is of great importance for converting whey into value-added products, as well as reducing whey waste and potential contamination.