Lactoperoxidase (LP) and lactoferrin (LF) are two interesting proteins present in dairy whey due to their antioxidant, anti-inflammatory, antibacterial, antiviral and antifungal properties. LP and LF are traditionally purified using cation-exchange chromatography, but since the concentration of these proteins in sweet whey are very low (0.03–0.06 g/L for LP and around 0.08–0.20 g/L for LF), clarification, diafiltration, concentration and/or depletion of others whey proteins prior to the ion-exchange chromatography is needed to obtain good adsorption yields. After their elution from the matrix, the overall process results in variable yields. Due to their similar physico-chemical properties, a high cross-contamination is usually present, especially for the LP fraction, where part of the LF is co-eluted.The development of novel supports with immobilized affinity and/or multimodal ligands aims to the direct adsorption of the target proteins even at low concentration and without the need of a pre-treatment of the source. Herein, a new, low-cost support material using chitosan mini-spheres with Orange R-HE triazine dye as immobilized ligand (CMS-Orange R-HE) was synthesized, physico-mechanically characterized and used for the purification of LP and LF by a one-step direct adsorption from dairy whey and a two-step elution process, with minor cross-contamination. CMS-Orange R-HE matrix showed a compression modulus of 47.6 ± 9.8 kPa, predominantly elastic deformation and an open-porous structure with mesopores around 5–20 nm and without ink-bottle pores, ideal for protein purification applications. The affinity between LP and LF for CMS-Orange R-HE matrix was characterized using the Langmuir isotherm model (Kd = 0.48 ± 0.07 mg/mL and 0.31 ± 0.09 mg/mL; qmax = 77.5 ± 4.0 mg/g and 56.0 ± 2.1 mg/g, respectively). Adsorption studies showed that LP interaction with CMS-Orange R-HE was partially influenced by the presence of ionic strength (p < 0.05), whereas LF adsorption was not. These differences of both electrostatic and hydrophobic interactions between LP and LF with the CMS-Orange R-HE matrix were used to develop a differential elution process using Response Surface Methodology (RSM). By one-step direct adsorption from dairy whey and two differential elution steps –by using the CMS-Orange R-HE matrix- LP and LF were obtained with good yields (≈70% for LP and ≈60% for LF), high purity and with minor cross-contamination between them. The strategy presented here, could be applied in other cases of cross-contamination between two proteins, being especially interesting for its application in multimodal chromatography.