Thermal processing is one of the most important processing methods in the food industry. However, many studies have revealed that thermal processing can have detrimental effects on the nutritional and functional properties of foods because of the complex interactions among food components. Proteins are essential nutrients for humans, and changes in the structure and nutritional properties of proteins can substantially impact the biological effects of foods. This review focuses on the interactions among proteins, sugars, and lipids during thermal food processing and the effects of these interactions on the structure, nutritional value, and biological effects of proteins. In particular, the negative effects of modified proteins on human health and strategies for mitigating these detrimental effects from two perspectives, namely, reducing the formation of modified proteins during thermal processing and dietary intervention in vivo, are discussed.