Whey being a by-product of dairy industry, although is highly nutritive, was previously regarded as a waste but with time found its application in feedstock, pharmaceutical and food industry. Whey’s composition varies with respect to multiple factors such as source of milk, type of whey (acid or sweet whey) etc. Main challenge in whey utilization is that it has less quantity of whey constituents which need to be purified. Previously, the methods such as heat or acid treatment, precipitation and salting out were efficient only on laboratory scale and caused degradation of native protein structure making it difficult to understand its functional, nutritional and therapeutic properties, shifting focus towards innovative techniques which give product of high purity, are rapid, efficient, cost effective, eco-friendly and easy to be scaled up. Among such techniques, membrane separation and chromatography are widely employed ones. There is always a concern about purity and use of a single technique leads to compromise between purification level and overall purified product yield, shifting focus towards coupling of separation techniques. The following article is a comprehensive approach towards novel approaches for the isolation and separation of different whey constituents such as whey protein isolate and whey protein hydrolysate etc. along with their application in dairy, food and pharmaceutical industry and animal feedstock.