Glycation, and particularly reactions between aldehydes and nucleophiles (thiols, amines), can initiate changes in the structure, solubility, composition, hydrophobicity, conformation, function, and susceptibility to proteolysis of proteins. This can have adverse consequences for mammals, plants, foodstuffs, and pharmaceuticals. Low-molecular-mass dialdehydes such as methylglyoxal (MGO) are much more reactive than parent glucose and therefore potentially highly damaging. These are present at significant levels in some foods. This study investigated whether and how MGO exposure, with or without concurrent heat exposure, affected the major whey proteins β-lactoglobulin and α-lactalbumin. MGO diminished the formation of heat-induced, reducible, intermolecular disulfide cross-links for both proteins, with this being associated, at least in part, with alternative thiol consuming reactions of MGO. At long incubation times, nonreducible protein cross-links were formed in a dose-dependent manner, with LC-MS/MS and UPLC analysis showing the presence of methylglyoxal-lysine dimers (MOLD). UPLC analysis revealed MGO-dependent consumption of specific amino acids in the order Cys > Arg > Lys > Trp for both proteins, with α-lactalbumin affected to a greater extent than β-lactoglobulin. SDS-PAGE revealed altered protein mobility consistent with modification of charged residues. MGO exposure also resulted in increased binding of the hydrophobic dye, 8-anilino-1-naphthalene sulfonic acid, consistent with limited protein unfolding. Overall, these data are consistent with rapid reaction of MGO residues at Cys residues (when available) and surface accessible Arg and Lys residues, with formation of adducts and cross-linked materials. These alternative reactions of dialdehydes diminish direct heat-induced (disulfide) cross-link formation and result in limited protein unfolding.