(1) Background: Whey protein (WP) in combination with resistance training (RT) is beneficial in improving sarcopenic obesity and its damaging effects in older adults, while the difference between men and women should be considered while interpreting results. This review aims to investigate WP’s efficacy on postmenopausal women with or without RT; (2) Material and Methods: We searched electronic databases including PubMed, EMBASE, and the Cochrane Library from inception to August 2021 for randomized controlled trials that included comparison groups to evaluate WP’s efficacy in women aged 55 years and above. The outcomes included body composition, muscular strength, functional capacity, and dietary intake. Standardized mean differences (SMDs) with 95% confidence intervals (CIs) were used to estimate the effect of WP. We also performed subgroup analysis with or without RT; (3) Results: We included 14 studies in the systematic review and 10 studies in the meta-analysis. Subgroup analyses showed RT was a major confounder for muscle strength, lean mass, and dietary protein intake (PI). In the RT subgroup, WP supplementation had a significant positive effect on biceps curl strength (BC) (SMD: 0.6805, 95% CI: 0.176, 1.185, I²: 0%), and lower limb lean-mass (LLLM) (SMD: 1.103, 95% CI: 0.632, 1.574, I²: 14%). In the subgroup without RT, a significant negative effect on PI (SMD: −0.4225, 95% CI: −0.774, −0.071, I²: 47%) was observed, while no significant effect on muscle strength or lean mass was revealed. WP supplementation did not show a significantly different effect on fat mass or body weight loss in both the subgroups; (4) Conclusions: In postmenopausal women, WP supplementation only in combination with RT enhances BC and LLLM compared to placebo controls. Without RT, WP has no significant benefit on muscle strength or lean mass.