Whey is found in dairy and is one of the two major high-quality proteins found naturally in cow’s milk. Whey protein comes from the cheesemaking process. When special enzymes are added to the milk, it separates into curds (which are used to make cheese) and liquid whey. The whey protein is then pasteurized and dried so it can be used as a key ingredient in some drink mixes, protein bars and other foods.