Human milk is rich in nutritional factors, such as alpha-lactalbumin (α-Lac), and important for neonatal development, but nutrient supplementation may be required for optimal growth. Using a pig model, we hypothesized that α-Lac-enriched whey protein concentrate (WPC) supplementation improves neonatal development. Cesarean-delivered preterm pigs were fed either dilute bovine milk (REF) or REF milk supplemented with WPC with normal (STANDARD-ALPHA) or high (HIGH-ALPHA) α-Lac. Clinical, gut, immune and cognitive endpoints (open field, T-maze) were assessed and tissues collected at Day 19. The growth of STANDARD-ALPHA and HIGH-ALPHA were higher than REF (31 vs. 19 g/kg/d). Most organ weights, gut, immunity and brain variables were similar between WPC groups. HIGH-ALPHA had a higher bone mineral content, colon microbial diversity and an abundance of specific bacteria and microbial metabolites, and tended to show a faster food transit time (p = 0.07). Relative to REF, WPC pigs showed higher relative organ weights, blood amino acids, blood neutrophil function, and microbial metabolites, but lower brush-border enzyme activities and plasma cortisol. Cognition outcomes did not differ among the groups. In conclusion, WPC supplementation of milk improved some growth, gut and immunity parameters in preterm pigs. However, increasing the α-Lac content beyond human milk levels had limited effects on the immature gut and developing brain.