Thermal treatment is often employed in food processing to tailor product properties by manipulating the ingredient functionality, but these elevated temperatures may accelerate oxidation and nutrient loss. Here, oxidation of different whey protein systems [α-lactalbumin (α-LA), β-lactoglobulin (β-LG), a mix of α-LA and β-LG (whey model), and a commercial whey protein isolate (WPI)] was investigated during heat treatment at 60–90 °C and a UHT-like treatment by LC-MS-based proteomic analysis. The relative modification levels of each oxidation site were calculated and compared among different heat treatments and sample systems. Oxidation increased significantly in protein systems after heating at ≥90 °C but decreased in systems with higher complexity [pure protein (α-LA > β-LG) > whey model > WPI]. In α-LA, Cys, Met, and Trp residues were found to be most prone to oxidation. In β-LG-containing protein systems, Cys residues were suggested to scavenge most of the reactive oxidants and undergo an oxidation-mediated disulfide rearrangement. The rearranged disulfide bonds contributed to protein aggregation, which was suggested to provide physical protection against oxidation. Overall, limited loss of amino acid residues was detected after acidic hydrolysis followed by UHPLC analysis, which showed only a minor effect of heat treatment on protein oxidation in these protein systems.