In this study, the effects of whey protein on the macro- and microstructural quality of millet noodles and the underlying action rule were evaluated. The effects of different proportions of whey protein (2%, 4%, 6%, 8%, and 10%) on the farinograph properties, stretching properties, cooking quality, textural properties, and sensory quality of millet noodles were analyzed and compared using a farinograph and a texture meter and via Fourier transform infrared spectroscopy and scanning electron microscopy. Moreover, the effects of whey protein supplementation on the sulfhydryl content, gluten formation, and microstructure of millet noodles were investigated. Results showed that the addition of whey protein improved the farinograph properties of the dough, reduced dough hardness, and increased the maximum tensile force of the noodles. The addition of whey protein increased the content of free sulfhydryl and glutenin macropolymer of millet noodles, changed the secondary structure of protein in the original noodles, and promoted the formation of a uniform and continuous microstructure of noodles. Therefore, the addition of whey protein can improve the quality of noodles to some extent.