This work investigated the effects of thermal processing methods commonly used in the dairy industry and prolonged treatment at different temperatures on the denaturation, microstructure, and functional properties of whey proteins (WP) from goat milk. The complete denaturation of WP was observed in goat milk treated at 85°C for 30 min, and at a higher temperature (>85°C), a considerable amount of WP was easily denatured. The low temperature, long time treatment had the least effect on the secondary structure, whereas ultra-high temperature treatment had the greatest effect, and the amount of regular structures decreased gradually with prolonged time. The most serious morphological damage occurred after treatment at 85°C for 30 min, which was consistent with the denaturation results. This result indicated that the denaturation degree, particle size, surface hydrophobicity, and microstructure had a strong influence on the functional properties of WP from goat milk after heat treatment. The heat treatment of goat milk at 65°C for 30 min and 85°C for 15 s increased the particle size, turbidity, zeta potential, and surface hydrophobicity of WP, and these increases ensured that the WP had a good emulsifying activity index, water-holding capacity, oil-holding capacity, foaming capacity, and foam stability. This study simulated the heat treatment conditions used in actual production, aiming to provide a theoretical basis for industry.