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The ever-increasing demand for phosphorus fertilisers for securing global food production, coupled with finite phosphate rock reserves, is one of the emerging problems in the world. Indeed, phosphate rock is listed as an EU critical raw material, triggering attention to find an alternative source to substitute the use of this limited resource. Cheese whey, characterized by a high content of organic matter and phosphorus, represents a promising feedstock for phosphorus recovery and recycling. An innovative application of a membrane system coupled with freeze concentration was assessed to recover phosphorus from cheese whey. The performances of a microfiltration membrane (0.2 µm) and an ultrafiltration (200 kDa) membrane were evaluated and optimized under different transmembrane pressures and crossflow velocities. Once the optimal operating conditions were determined, a pre-treatment including lactic acid acidification and centrifugation was applied to increase the permeate recovery. Finally, the efficiency of progressive freeze concentration for the treatment of the permeate obtained from the optimum conditions (UF 200 kDa with TMP of 3 bar, CFV of 1 m/s and lactic acid acidification) was evaluated at specific operating conditions (−5 °C and 600 rpm of stirring speed). Finally, 70% of phosphorus could be recovered from cheese whey using the coupled technology of the membrane system and freeze concentration. A phosphorus-rich product was obtained with high agronomic value, which constitutes a further step towards establishing a broader circular economy framework.