Milk proteins are the main components of everyday feeding and demonstrate a promising potential to change the mental condition. However, the effects of milk proteins after prolonged use remain poorly understood. The aim of the present study was to compare the effects of two whey proteins (α-lactalbumin (α-lac) and native whey) with casein on social and individual behaviour in mice. During a 30 d-long dietary intervention, male C57BL/6J mice had ad libitum access to an experimental diet containing 17 % (w/w) of one of three protein sources: α-lac, native whey or casein. Mice had voluntary access to a running wheel. Social behaviour (group and resident–intruder activity) was tested at baseline and at the end of the intervention. Half of each dietary group was then withdrawn from the diet and running wheel for 7 d, and social activity and individual behaviour tests (open field, elevated-plus maze, light–dark box and forced swimming) were performed, to evaluate anxiety and depression-like status. The study shows that the long-term ingestion of whey proteins may modulate behaviour when compared with casein. Diet enriched with α-lac exhibited anxiolytic and antidepressive activities while the whey diet improved sociability. The differences between the diet groups were pronounced under the running wheel and the withdrawal of the experimental diet, suggesting that the beneficial effects of the milk proteins are clearer in stressful situations. Diet-induced behavioural changes remained visible for a week after feeding, which suggests that the proteins of the milk whey fraction have prolonged efficacy on the mental state of mice.