Whey protein, the main fraction of the proteins in mammalian milk, is proven to improve body immunity, possess anti-free radical and anti-aging effects, maintain kidney function and promote wound healing, etc, but also can prevent hypertension, hyperlipidemia, diabetes mellitus, and hyperviscosity. In recent years, some studies have shown that whey protein plays an important role in the treatment of malnourished patients with colorectal cancer. It can significantly improve the nutritional status, reduce post-operative complications and mortality, and decrease the adverse reactions caused by chemotherapy in the patients. In this article, we reviewed the characteristics of whey protein and the relative researches in the treatment of malnourished patients with colorectal cancer.