This paper describes the fractionation and further isolation and characterisation of peptides and proteins present in sweet whey by means of ultrafiltration using a regenerated cellulose membrane with a nominal molar mass cut-off value of 10 kg/mol and nanofiltration through sulphonated polyether sulphone membrane with a cut-off of 1 kg/mol. The concentration of whey proteins was done below the critical flux. The sieving coefficients for the whey components (proteins, lactose and salts) were estimated. Whey proteins were completely rejected by the ultrafiltration membrane. Size exclusion chromatography (SEC) and matrix-assisted laser desorption ionisation time-of-flight (MALDI-TOF) mass spectrometry were used to evaluate the molar masses of the peptide fractions that were present in the whey permeates. Nanofiltration of whey permeates obtained after ultrafiltration was conducted at two pH values (9.5 and 3.0) that corresponded to the different charged states of the membrane and of the peptides. The transmission of peptides, amino acids and lactose was found to be mainly affected by the permeability of the fouling layer. The selectivity of the nanofiltration membranes toward peptides compared to lactose was calculated as 0.82 and 6.81 at pH 9.5 and 3.0, respectively.