The disulfide cross-linking sites of whey protein isolate (WPI) coextruded with dissolved cysteine (Cys) at concentrations of 0, 20, 40, 60, 80, and 100 mM were analyzed by liquid chromatography electrospray ionization tandem mass spectrometry (LC/MS/MS) combined with pLink software, and the structure and gel water distribution of WPI during coextrusion (≤50 °C) were also investigated. LC/MS/MS demonstrated that α-La (6) and α-La (120) were the most active sites for intermolecular disulfide cross-linking of α-La. Meanwhile, the molecular weight of protein polymers in coextruded WPI-Cys was the largest at 100 mM Cys, and α-lactalbumin was the main reactant for polymerization from the result of SDS-PAGE and size exclusion chromatography. Additionally, the high concentration of Cys caused the secondary structure of WPI to gradually change from a highly ordered to a disordered structure during coextrusion. In addition, with an increasing concentration of Cys, the free sulfhydryl group of proteins and the binding force to immobilized water gradually increased. Therefore, this work revealed the disulfide cross-linking mechanism between WPI and Cys under low-temperature coextrusion at the molecular level, and the obtained coextruded cross-linked WPI could serve as a novel food ingredient with excellent water-holding capacity for the food industry.