Heat treatment of milk signifies a certain degree of protein denaturation, which modifies the functional properties of dairy products. Traditional methods for detecting and quantifying the denaturation of whey proteins are slow, complex and require sample preparation and qualified staff. The world’s current trend is to develop rapid, real-time analytical methods that do not destroy the sample and can be applied on/in-line during processing. This review presents the rapid methods that are being studied, developed and/or applied to determine and quantify the thermal denaturation of whey proteins, including spectroscopic, electrochemical and miniaturized methods. The selected methods save a significant amount of time and money compared to the traditional ones. In addition, the review emphasizes the methods being applied directly to milk and/or that have potential for on/in/at-line application. There are interesting options to quantify thermal denaturation of whey proteins such as biosensors, nanosensors and microchips, which have fast responses and could be automated. In addition, electrochemical sensors are simple to use and portable, while spectroscopy alternatives are suitable for on/in/at-line process.