Whey protein promotes weight loss and improves diabetic control, however, less is known of its bioactive components that produce such benefits. We compared the effects of normal protein (control) diet with high protein diets containing whey, or its fractions lactalbumin and lactoferrin, on energy balance and metabolism. Diet-induced obese rats were randomized to isocaloric diets: Control, Whey, Lactalbumin, Lactoferrin, or pair-fed to lactoferrin. Whey and lactalbumin produced transient hypophagia, whereas lactoferrin caused prolonged hypophagia; the hypophagia was likely due to decreased preference. Lactalbumin decreased weight and fat gain. Notably, lactoferrin produced sustained weight and fat loss, and attenuated the reduction in energy expenditure associated with calorie restriction. Lactalbumin and lactoferrin decreased plasma leptin and insulin, and lactalbumin increased peptide YY. Whey, lactalbumin and lactoferrin improved glucose clearance partly through differential upregulation of glucoregulatory transcripts in the liver and skeletal muscle. Interestingly, lactalbumin and lactoferrin decreased hepatic lipidosis partly through downregulation of lipogenic and/or upregulation of β-oxidation transcripts, and differentially modulated cecal bacterial populations. Our findings demonstrate that protein quantity and quality are important for improving energy balance. Dietary lactalbumin and lactoferrin improved energy balance and metabolism, and decreased adiposity, with the effects of lactoferrin being partly independent of caloric intake.