The secondary structure of whey proteins in donkey and bovine milk were investigated by Fourier transform infrared spectroscopy (FTIR), and comparative functional evaluation was carried out by gene ontology (GO) annotation and Kyoto Encyclopedia of Genes and Genomes (KEGG) pathway analysis. Results showed that there were differences in the secondary structure of whey proteins between donkey and bovine milk. As the lactation period proceeded, the secondary structure content of whey proteins in both milks changed. Whey proteins in donkey colostrum and milk were involved in more biological functions and metabolic pathways compared with those in bovine colostrum and milk, especially in donkey milk, which could thus be more beneficial to the development and utilization of infant formula milk powder.