The allergy-protective capacity of raw cow’s milk was demonstrated to be abolished after heat treatment. The heat-sensitive whey protein fraction of raw milk is often implied to be the source of this allergy-protective effect, but a direct link between these proteins and the protection against allergic diseases is missing. This study therefore aimed at investigating the mechanistic relation between heat damage to whey proteins and allergy development. Raw cow’s milk was heated for 30 min at 50, 60, 65, 70, 75, or 80 °C and the native whey protein profile of these differentially heated milk samples was determined using LC-MS/MS-based proteomics. Changes in the native protein profile were subsequently related to the capacity of these milk samples to prevent the development of ovalbumin-induced food allergy in a murine animal model. A substantial loss of native whey proteins, as well as extensive protein aggregation, was observed from 75 °C. However, whey proteins with immune-related functionalities already started to denature from 65 °C, which coincided with the temperature at which a loss of allergy protection was observed in the murine model. Complement C7, monocyte differentiation antigen CD14, and polymeric immunoglobulin receptor concentrations decreased significantly at this temperature, although several other immunologically active whey proteins also showed a decrease around 65 °C. The current study demonstrates that immunologically active whey proteins that denature around 65 °C are of importance for the allergy-protective capacity of raw cow’s milk and thereby provides key knowledge for the development of microbiologically safe alternatives to raw cow’s milk.