The effect of pH on the heat-induced denaturation/aggregation of whey protein isolate (WPI) in the dry state was investigated. WPI powders at different pH values (6.5, 4.5, and 2.5) and controlled water activity (0.23) were dry heated at 100 °C for up to 24 h. Dry heating was accompanied by a loss of soluble proteins (native-like β-lactoglobulin and α-lactalbumin) and the concomitant formation of aggregated structures that increased in size as the pH increased. The loss of soluble proteins was less when the pH of the WPI was 2.5; in this case only soluble aggregates were observed. At higher pH values (4.5 and 6.5), both soluble and insoluble aggregates were formed. The fraction of insoluble aggregates increased with increasing pH. Intermolecular disulphide bonds between aggregated proteins predominated at a lower pH (2.5), while covalent cross-links other than disulphide bonds were also formed at pH 4.5 and 6.5. Hence, pH constitutes an attractive tool for controlling the dry heat-induced denaturation/aggregation of whey proteins and the types of interactions between them. This may be of great importance for whey ingredients having various pH values after processing.