This study identified characteristic whey proteins from Zhongdian Yak (ZY), Diqing Yellow Cattle (DYC), and Cattle Yak (CY), revealing insights into their potential functions and released peptides. A total of 118 whey proteins were quantified in milk obtained from the three breeds of cattle, including seven characteristic proteins (IGL@ protein, 40S ribosomal protein S9, calreticulin, etc.) in CY milk and two characteristic proteins (RNA helicase and uncharacterized protein (A0A3Q1LFQ2)) in ZY milk. These characteristic proteins are involved in the phagosome and Fc gamma R-mediated phagocytosis pathways, exhibiting immunoprotective activities, verified through molecular docking. Furthermore, the molecular docking results showed five whey proteins (IGL@ protein, rho GDP-dissociation inhibitor 1, small monomeric GTPase, action-like protein 3, and adenylyl cyclase-associated protein) interacted with TLR4 through multiple hydrogen and hydrophobic bonds. Therefore, these proteins may exert immunomodulatory functions by inhibiting TLR4. Meanwhile, whey proteins produced bioactive peptides, such as antioxidant peptides and ACE inhibitory peptides after simulated gastrointestinal digestion (SGID). The whey proteins and bioactive peptides from CY exhibited more types and activities than the ZY and DYC whey proteins. This study provides a theoretical basis for promoting formula milk powder production.