Cheese whey constitutes one of the most polluting by-products of the food industry, due to its high organic load. Thus, in order to mitigate the environmental concerns, a large number of valorization approaches have been reported; mainly targeting the recovery of whey proteins and whey lactose from cheese whey for further exploitation as renewable resources. Most studies are predominantly focused on the separate implementation, either of whey protein or lactose, to configure processes that will formulate value-added products. Likewise, approaches for cheese whey valorization, so far, do not exploit the full potential of cheese whey, particularly with respect to food applications. Nonetheless, within the concept of integrated biorefinery design and the transition to circular economy, it is imperative to develop consolidated bioprocesses that will foster a holistic exploitation of cheese whey. Therefore, the aim of this article is to elaborate on the recent advances regarding the conversion of whey to high value-added products, focusing on food applications. Moreover, novel integrated biorefining concepts are proposed, to inaugurate the complete exploitation of cheese whey to formulate novel products with diversified end applications. Within the context of circular economy, it is envisaged that high value-added products will be reintroduced in the food supply chain, thereby enhancing sustainability and creating "zero waste" processes.