Whey proteins are globular milk proteins with numerous functional properties and a broad potential for usage in food and supplement-pharmaceutical products. Under various denaturing conditions, whey proteins unfold, form aggregates, microparticles, while at sufficiently high concentrations, gel networks are created. The continuously growing research interest makes it necessary to discuss the recent advances and achievements in this area, including the basic principles of the structural assembly's kinetics along with the different approaches undertaken to fabricate whey protein gels as well as the means to modulate the gel physical properties. This article also focuses on the use of ethanol to modify the structure and functionality of whey proteins, as an alternative way to change the protein conformation and thereby gelation phenomena and functionality.