Whey proteins and amino acid supplements have a strong position in the sports nutrition market based on the purported quality of proteins and amino acids they provide. Recent studies employing stable isotope methodology demonstrate the ability of whey proteins or amino acid mixtures of similar composition to promote whole body and muscle protein synthesis. Other developing avenues of research explore health benefits of whey that extend beyond protein and basic nutrition. Many bioactive components derived from whey are under study for their ability to offer specific health benefits. These functions are being investigated predominantly in tissue culture systems and animal models. The capacity of these compounds to modulate adiposity, and to enhance immune function and anti-oxidant activity presents new applications potentially suited to the needs of those individuals with active lifestyles. This paper will review the recent literature that describes functional properties of essential amino acids, whey proteins, whey-derived minerals and other compounds and the mechanisms by which they may confer benefits to active people in the context that exercise is a form of metabolic stress. The response to this stress can be positive, as with the accretion of more muscle and improved functionality or greater strength. However, overall benefits may be compromised if immune function or general health is challenged in response to the stress. From a mechanistic standpoint, whey proteins, their composite amino acids, and/or associated compounds may be able to provide substrate and bioactive components to extend the overall benefits of physical activity.