High pressure is emerging as a new processing technology that produces particular changes in the molecular structure of proteins and thus gives rise to new properties inaccessible via conventional methods of protein modification. This review deals with the main effects of high hydrostatic pressure on the physicochemical characteristics of milk whey proteins and how modifications in their structural properties contribute to functionality. In this paper the mechanism underlying pressure-induced changes in β-lactoglobulin, α-lactabumin, and bovine serum albumin is explained, and related to functional properties such as gel-forming ability, emulsifying activity, or foaming capacity. The possibility of using high pressures to favor chemical reactions of proteins with other food components, such as carbohydrates, to produce novel molecules with new food uses is also considered.