Whey is a milk protein that is a popular ingredient in fitness drink mixes. If you use whey protein in concert with a healthy diet and fitness regimen, you will have a better chance of developing lean muscles and lose weight. That’s because whey supports fat burning and gaining lean muscle mass when consumed before exercise. Where Whey Comes From Whey protein is a by-product of the process of turning cow’s milk into cheese. There are two types of milk proteins: casein and whey protein.