Advanced glycation end-products (AGEs) are a group of heterogeneous compounds formed during the Maillard Reaction (MR) and have been proven to be detrimental to human health. In addition to thermally processed foods, the digestive tract may be an additional site for exogenous AGE formation since the MR would possibly occur between (oligo-)peptides, free amino acids, and reactive MR products (MRPs) such as α-dicarbonyl compounds (α-DCs) along the digestion. In this study, through establishing a simulated gastrointestinal (GI) model consisting of whey protein isolate (WPI) and two typical α-DCs, i.e., methylglyoxal (MGO) or glyoxal (GO), we first validated that co-digestion of WPI with α-DCs generated extra amounts of AGEs in a precursor-dependent manner, especially seen in the intestinal stage. At the end of GI digestion, the contents of total AGEs in WPI-MGO and WPI-GO systems were 4.3-242 and 2.5-73.6 times higher than those formed in the control system, respectively. Evaluation of the protein digestibility further showed that AGE formation along the digestion process slightly affected the digestibility of whey protein fractions. However, as sequenced and identified by high-resolution mass spectrometry, different types of AGE modifications were identified in peptides released from β-lactoglobulin and α-lactalbumin in the final digests, as well as changes in peptide sequence motifs. This suggested that the glycated structures formed during co-digestion affected the action of digestive proteases toward whey proteins. Overall, these results highlight the GI tract as an additional source of exogenous AGEs and provide new insights into the biochemical consequences of MRPs in heat-processed foods.