Despite extensive research on the topic, valorization of dairy by-products remains challenging. Cheese whey is of particular interest because it contains valuable proteins such as α-lactalbumin (α-LA) and β-lactoglobulin (β-LG). However, selective fractionation of these 2 proteins into pure fractions is complex because of their similar molecular weights. In this study, we proposed an innovative protein separation strategy based on coupling high hydrostatic pressure (HHP) with acidification of whey at pH 4.6. We investigated the effect of single-cycle HHP (600 MPa) for 5, 10, and 15 min and multiple-cycle HHP (1–3 cycles of 5 min at 600 MPa) on α-LA and β-LG fractionation from cheese whey at initial pH (control, pH 6.66) and acidified to pH 4.6. All pressurization conditions with acidified whey induced a drastic aggregation of β-LG compared with control whey. The highest degrees of purification (75 and 98%, respectively) and yields (95 and 88%, respectively) of α-LA and β-LG were obtained with the application of single-cycle HHP treatment of acidified whey at pH 4.6 at 600 MPa for 5 min. Our results showed the strong potential of using HHP as an innovative tool for the fractionation of valuable proteins such as α-LA from cheese whey.