Agroindustrial by-products and residues can be transformed into valuable compounds in biorefineries. Here, we present a new concept: production of fuel ethanol, whey protein, and probiotic yeast from cheese whey. An initial screening under industrially relevant conditions, involving thirty Kluyveromyces marxianus strains, was carried out using spot assays to evaluate their capacity to grow on cheese whey or on whey permeate (100 g lactose/L), under aerobic or anaerobic conditions, in the absence or presence of 5% ethanol, at pH 5.8 or pH 2.5. The four best growing K. marxianus strains were selected and further evaluated in a miniaturized industrial fermentation process using reconstituted whey permeate (100 g lactose/L) with cell recycling (involving sulfuric acid treatment). After five consecutive fermentation cycles, the ethanol yield on sugar reached 90% of the theoretical maximum in the best cases, with 90% cell viability. Cells harvested at this point displayed probiotic properties such as the capacity to survive the passage through the gastrointestinal tract and capacity to modulate the innate immune response of intestinal epithelium, both in vitro. Furthermore, the CIDCA 9121 strain was able to protect against histopathological damage in an animal model of acute colitis. Our findings demonstrate that K. marxianus CIDCA 9121 is capable of efficiently fermenting the lactose present in whey permeate to ethanol and that the remaining yeast biomass has probiotic properties, enabling an integrated process for the obtainment of whey protein (WP), fuel ethanol, and probiotics from cheese whey.