Cheese whey, a nutrient-rich dairy byproduct that requires management due to its high organic load, was valorized using an integrated biorefinery platform with the edible fungus Neurospora intermedia to simultaneously produce mycoprotein, carotenoids, and B vitamins (B1, B2, B3, B6). Initial optimization employed a one-factor-at-a-time (OFAT) approach to evaluate the effects of whey concentration, initial pH, KNO3, salt supplementation, trace elements, precursor, and pellet-inducing agents (CaCl2, glycerol, and Tween 80). Subsequent optimization via response surface methodology (RSM) revealed the limitations of OFAT analysis and identified optimal conditions for targeted outputs. Maximum biomass yield (7.8 g/L) was achieved at high whey concentration (40 g/L) and low pH (pH 4), whereas maximum nutrient yields, 249.96 µg/g carotenoids, 1.46 mg/g B1, 7.17 mg/g B2, 0.41 mg/g B3, and 1.2 mg/g B6, were attained at low whey concentration (10 g/L) and low pH (pH 4). These conditions also minimized pellet size to 2 mm, enhancing metabolite production. The process concurrently reduced whey's chemical oxygen demand by 25.8% and demonstrated high biosorption of metal ions (76.8% Ca, 69.9% Mg, 80.8% Fe, 62.5% K). CHNS mass balance analysis revealed carbon (19.8%), hydrogen (18.9%), nitrogen (40.3%), and sulfur (42.5%) transfer efficiencies from cheese whey to N. intermedia biomass, with a 2.24-fold nitrogen enrichment (from 2.69% to 6.04%) corresponding to 37.8% crude protein and atomic ratios of C/N (7.84), N/S (36.2), H/C (1.85), and C/O (≈1.15). This study demonstrates the effective biorefining of whey into valuable products using RSM. This approach allows for the targeted production of high-volume mycoprotein, nutrient-dense extracts, or specific fungal morphology.