The purpose of this study was to explore the differences in nutritional components and whey protein components between sheep milk and milk from humans and other animal species used for dairy production. The whey protein components of milk from Hu sheep, East Friensian Milk sheep and their F1 hybrid at different stages of lactation were analyzed and compared with those of goat, cow and human milk. Sodium dodecyl sulfate-polyacrylamide gel electrophoresis (SDS-PAGE) and Native-PAGE were used to identify landmark proteins that differed between milk samples. The contents of milk macronutrients like protein, fat and lactose significantly varied between sheep breeds, between lactation stages, and between sheep and other animal species (P < 0.05) and they showed a certain trend. SDS-PAGE showed that β-lactoglobulin and lactoferrin differed between sheep and human milk, α-lactalbumin differed between sheep and goat milk, and immunoglobulin G (IgG) heavy chain differed between sheep and cow milk. Native-PAGE indicated that there was one protein band that differed between sheep and goat whey as well as three ones that differed between sheep milk and human and cow whey.