Protein denaturation can be exploited to modulate its physicochemical properties and create different micro- or nano- structures that could be used for the development of innovative protein-enriched food formulations. This study introduces a novel approach for the production of nanoparticles by denaturing whey protein isolate with ethanol. Whey proteins were subjected to water/ethanol mixtures containing up to 70% w/w ethanol, at varying pH values and NaCl concentrations, to prepare protein nanoparticles in a controlled manner. Confocal microscopy, ATR-FTIR spectroscopy, fluorescence spectroscopy, laser diffraction analysis, and dynamic light scattering were employed to investigate their impact on protein denaturation and nanoparticles’ characteristics. A steep decrease of hydrophobicity up to 50% w/w ethanol was found. A dependence between denaturation and lower pH values was observed. Confocal microscopy revealed that small changes in pH affected the protein’s microstructure, while controlling ethanol concentration allowed for the production of different nanoparticles within narrow pH ranges. High concentrations of NaCl led to extended aggregation even at low ethanol content, while nanoparticles were formed at low NaCl (50 mM) and 30% w/w ethanol. Overall, ethanol denaturation of whey proteins presents a promising technique for the formation of protein nanoparticles.