Bixin is the major coloring component of annatto used in manufacturing colored cheeses, but its presence in liquid whey causes undesirable quality of the recovered whey protein ingredients. The objective of this work was to study molecular binding between bixin and three major whey proteins (β-lactoglobulin, α-lactalbumin, and bovine serum albumin) at pH 7.4 using UV-vis absorption spectroscopy, fluorescence spectroscopy, isothermal titration calorimetry, and circular dichroism. These complementary techniques illustrated that the binding is a spontaneous complexation process mainly driven by hydrophobic interactions. The complexation is favored at a lower temperature and a higher ionic strength. At a lower temperature, the binding is entropy-driven, while it changes to an enthalpy-driven process at higher temperatures. The binding also increases the percentage of unordered secondary structures of proteins. Findings from this work can be used to develop whey protein recovery processes for minimizing residual annatto content in whey protein ingredients.