Heating is commonly used in the manufacture of dairy products, but impacts of thermal denaturation on binding between whey protein and molecules such as pigments are poorly understood. The objective of this work was to study the impacts of thermal denaturation on binding between bixin, a pigment relevant to colored cheeses, and whey proteins using several complementary techniques. Fluorescence spectroscopy data showed that heat treatment caused tryptophan in β-lactoglobulin and α-lactalbumin to be exposed to a more polar environment, but the opposite was observed for bovine serum albumin. The fluorescence quenching study indicated that the quenching of whey protein fluorescence by bixin was static quenching, and the affinity of binding with bixin was enhanced after thermal denaturation, caused by a higher extent of unordered structures, as revealed by results from circular dichroism and Fourier transform infrared spectra. β-Lactoglobulin was responsible for overall impacts of thermal denaturation on binding between bixin and whey protein isolate.