Agro-industrial residues such as bagasse, pomace, municipal residues, vinasse and cheese whey are an environmental problem around the world, mainly due to the huge volumes that are generated because of the food production to satisfy the nutritional needs of the growing world population. Among the above residues, cheese whey has gained special attention because of its high production with a worldwide production of 160 million tons per year. Most of it is discarded in water bodies and land causing damage to the environment due to the high biological oxygen demand caused by its organic matter load. The environmental regulations in developing countries have motivated the development of new processes to treat transform cheese whey into added-value products such as food supplements, cattle feed and food additives. In addition, during the last decade, several processes and technologies have been developed to produce bioenergy through the biotechnological process using cheese whey as a potential feedstock. This review discusses the production of bioethanol, biohydrogen, biomethane and microbial lipid-biodiesel production using cheese whey as a potential substrate.