Conventional wheat milling generates important volumes of wheat bran (WB), which is a concentrated source of polyphenols and insoluble fiber. In terms of health benefits and based on epidemiological and experimental evidence, these compounds contribute to reducing the risk of certain chronic pathologies. Protein concentration is the main quality factor conditioning wheat use in the agroindustry. When turning waste into feasible resources, it is essential to evaluate the variability of the raw material. The aim of this study was the evaluation of the impact of protein content in the valorization of WB based on its antioxidants, anti-inflammatory properties and glycemic index (GI). A significantly (p ≤ 0.05) lower content of phenolic compounds was found in the whole grain (WG) fractions, both free (FP) and bound (BP), as compared to the WB phenolic fractions, differences that ranged from 4- to 6-fold (538 to 561 mg GAE 100 g−1 in WG vs. 1027 to 1236 in WB mg GAE 100 g−1 in FP and 2245 to 2378 vs. 6344 to 7232 mg GAE 100 g−1 in BP). A significant (p ≤ 0.05) effect of the protein content on the resulting phenolic content and antioxidant capacity was observed, especially in WG, but also in WB, although in the latter a significant (p ≤ 0.05) negative correlation was observed, and increasing the protein content resulted in decreasing total phenolic content, antioxidants, and ferric-reducing capacities, probably due to their different types of proteins. The highest protein content in WB produced a significant (p ≤ 0.05) reduction in GI value, probably due to the role of protein structure in protecting starch from gelatinization, along with phytic acid, which may bind to proteins closely associated to starch and chelate calcium ions, required for α-amylase activity. A significant (p ≤ 0.05) effect of the protein content on the GI was also found, which may be explained by the structural effect of the proteins associated with starch, reducing the GI (21.64). The results obtained show the importance of segregation of WB in valorization strategies in order to increase the efficiency of the processes.