Heating of protein- and sugar-containing materials is considered the primary factor affecting the formation of advanced glycation end products (AGEs). This study aimed to investigate the influence of heating conditions, digestion, and aggregation on the binding capacity of AGEs to the soluble AGE receptor (sRAGE). Samples consisting of mixtures of whey protein and lactose were heated at 130 °C. An in vitro infant digestion model was used to study the influence of heat treatment on the digestibility of whey proteins. The amount of sRAGE-binding ligands before and after digestion was measured by an ELISA-based sRAGE-binding assay. Water activity did not significantly affect the extent of digestibility of whey proteins dry heated at pH 5 (ranging from 3.3 ± 0.2 to 3.6 ± 0.1% for gastric digestion and from 53.5 ± 1.5 to 64.7 ± 1.1% for duodenal digestion), but there were differences in cleavage patterns of peptides among the samples heated at different pH values. Formation of sRAGE-binding ligands depended on the formation of aggregates and was limited in the samples heated at pH 5. Moreover, the sRAGE-binding activity of digested sample was changed by protease degradation and correlated with the digestibility of samples. In conclusion, generation of sRAGE-binding ligands during extensive heat treatment of whey protein/lactose mixtures is limited in acidic heating condition and dependent on glycation and aggregation.