Baked milk products, e.g. milk-protein containing muffins or baked cheese, can be tolerated by most cow’s milk allergic subjects. These products were also reported to contribute to the development of immune tolerance in allergic subjects. The main objective of this thesis was to investigate the effects of heating under dry conditions on the physicochemical and immunological properties of whey proteins. A simplified heating model, consisting of whey proteins and lactose, was used to reproduce baking conditions. Most of the Maillard reaction sites were found to be located in the reported conformational epitopes on whey proteins. Therefore, the structural changes subsequently resulted in a decreased IgG-binding capacity. The binding of glycation products to the receptor of AGE (RAGE) increased with heating time. Next, the formation of AGEs was further studied. Formation of sRAGE-binding ligands depended on the aggregation, “pH”, and aw of the samples. Moreover, the sRAGE-binding activity of the samples after digestion was changed and correlated with the digestibility of samples. Based on these results, a correlation between the formation of AGEs and their immunogenicity was hypothesized. Thus, the macrophage immunogenicity of glycated BLG was furtherly studied. The IgE-binding capacity of glycated samples and their influence on the polarization and gene expression of macrophages were studied in vitro. Glycation of BLG was found to reduce the expression of pro-inflammatory TNF-α, and increase the expression of anti-inflammatory TGF-β in M1 and M2 macrophages. The immunomodulatory potential of glycated BLG was further studied, as described. The uptake of glycated BLG by dendritic cells (DCs) was studied. Results showed that glycated BLG inhibited the degranulation of basophils in a dose-dependent manner. Glycation of BLG enhanced its uptake by DCs. However, the degradation of glycated BLG was faster than unheated BLG, indicating a retarded allergen-presentation efficiency of glycated BLG by DCs. In conclusion, this thesis showed that extensive dry heating induces profound and specific effects on the physicochemical and immunological properties of whey proteins. Conditions during heating, such as aw and “pH”, affect the consequences of heating on whey proteins and their subsequent functions in interacting with immune cells. Compared to unheated and nonglycated samples, glycated BLG can be more efficiently taken up and degraded by DCs. In addition, glycation confers immunomodulatory properties on whey proteins, as tested in macrophages. These results might have consequences for preparing extensively dry heated allergens that can be used in oral immunotherapy. The data in this thesis also provided a better understanding on the mechanism underlying the observation that the development of immune tolerance can be accelerated by baked milk.