The recovery of valuable components from dairy processing waste products is an approach that creates an economic opportunity for producers while reducing the environmental burden of treating and disposing of this waste. For this purpose, bentonite clay has been investigated as an adsorbent material to recover protein from cheese whey. In this process, powdered bentonite clay is mixed with whey to adsorb and physically separate whey proteins from the bulk liquid. This approach presents several potential advantages compared to traditional membrane filtration, as it can be achieved using minimal equipment and operator experience, allowing for easier application at the source of production. The removal of major whey proteins has been monitored using HPLC following contact with bentonite clay while operating under varying bentonite dosages and temperature conditions. Complete removal of major whey proteins was observed using a bentonite dosage of 35 g/L after 6 h of contact at a pH of 4.7. When considering the removal of individual whey proteins, it was found that alpha-lactalbumin (α-LA) displayed a higher adsorptive affinity towards bentonite than beta-lactoglobulin (β-LG) under these conditions. Modification of temperature using a fixed adsorbent concentration of 20 g/L revealed that the overall removal of major whey proteins was diminished at 4 °C but remained relatively constant between 20 and 40 °C. In particular, the removal α-LA was significantly affected by changes in temperature, with removal increasing from 54.27 to 91.49% as the temperature during adsorption was raised from 4 to 40 °C.