A reversed phase HPLC technique has been applied to measure the loss of solubility (at pH 4.6) of α-lactalbumin and β-lactoglobulin resulting from the spray drying of whey protein isolate solution. Spray drying was performed in a pilot-scale co-current spray dryer with different feed concentrations (20–40% w/v) and outlet temperatures (60–120 °C). The study reveals that the solubility of both α-lactalbumin and β-lactoglobulin was not significantly affected at low outlet gas temperatures (60–80 °C), but was strongly affected (up to 40%) at high temperatures (100–120 °C). Significantly higher losses in solubility were observed for β-lactoglobulin compared to α-lactalbumin. Increasing the feed concentration at higher outlet temperatures also caused noticeable increases in insolubility. The reversed phase HPLC results were consistent with those from total protein nitrogen content (Kjeldhal) analyses.