The physicochemical characteristics of milk by-product should be assessed by dairy industry to evaluate the potential of different types of wheys to become ingredients. The aim of this study was to evaluate the physicochemical characteristics of the main dairy industry residues: cheese whey, ricotta whey, and butter whey. Whole milk was also evaluated as reference. Analyses of proximate composition, determination of Ca2++Mg2+, pH, titratable acidity, water activity, and instrumental color, all in triplicate, were performed. The results of proximate composition, and titratable acidity showed significant increases (moisture and titratable acidity) and reductions (ashes, lipids, proteins, carbohydrates, energy value, pH, and Ca2++Mg2+) between the different types of wheys and milk. The lipid and caloric reduction are considered relevant to dairy industry, mainly to be used in products with high level of fat harmful to health. There was no significant difference between the values for water activity. Furthermore, the color showed difference in which the milk was the whitest sample. Principal component analysis explained 94.40% of the total variance of the data. PC1 separated butter whey and ricotta whey from milk and cheese whey. In view of the results, many physicochemical attributes of the different dairy by-products studied were interesting, therefore the application of these types of wheys in the development of other products, partially or even entirely, can be suggested. Despite the similarity of butter whey to milk, the indication of the most appropriate whey to be used will depend on the product and the aim of its application.