In ideal proteins, only native interactions are stabilized step-by-step in a smooth funnel-like energy landscape. In real proteins, however, the transient formation of non-native structures is frequently observed. In this review, the transient formation of non-native structures is described using the non-native helix formation during the folding of β-lactoglobulin as a prominent example. Although β-lactoglobulin is a predominantly β-sheet protein, it has been shown to form non-native helices during the early stage of folding. The location of non-native helices, their stabilization mechanism, and their role in the folding reaction are discussed.