This study aimed to analyze and compare the differentially expressed whey proteins (DEWPs) of donkey and bovine colostrum using high-performance liquid chromatography with tandem mass spectrometry-based proteomics. A total of 620 and 696 whey proteins were characterized in the donkey and bovine colostrum, respectively, including 383 common whey proteins. Among these common proteins, 80 were identified as DEWPs, including 21 upregulated and 59 downregulated DEWPs in donkey colostrum compared to bovine colostrum. Gene Ontology analysis revealed that these DEWPs were mainly related to cellular components, such as extracellular exosome, plasma membrane, and mitochondrion; biological processes, such as oxidation-reduction process, cell-cell adhesion, and small guanosine triphosphate (GTP) ase-mediated signal transduction; and molecular functions, such as GTP binding, GTPase activity, and soluble N-ethylmaleimide-sensitive factor (NSF) attachment protein receptor activity. Metabolic pathway analysis suggested that the majority of the DEWPs were associated with soluble NSF factor attachment protein receptor interactions in vesicular transport, fatty acid biosynthesis, and estrogen signaling pathways. Our results provide a vital insight into the differences between donkey and bovine colostrum, along with important information on the significant components as nutritional and functional factors to be included in infant formula based on multiple milk sources.