This paper focuses on a process for dairy wastewater treatment by mixotrophic cultivation of microalgaeNannochlorissp., using cheese whey obtained as a side flow from cheese production as an organic carbon source. The microalgae samples were prepared by adding to the standard growth medium increasing amounts of cheese whey, calculated to ensure a lactose concentration between 0 and 10 g/L. The samples were incubated at a constant temperature of 28 °C and 175 rpm stirring speed for a total time of seven days. Two LED (Light Emitting Diode) illumination schemes were applied in order to assess the effect of this parameter on microalgae development and bioactive compound accumulation: continuous illumination (light stress) versus alternative cycles of 12 h light—12 h dark (day–night cycle). The growth medium was analyzed before and after microalgae cultivation in order to determine the reduction of carbon, nitrogen, and phosphorus. The results obtained for this process, after a seven-day cultivation period, were as follows: reduction of 99–100% of lactose from the growth medium, up to 96% reduction in chemical oxygen demand, up to 91% reduction in nitrogen content, and up to 70% reduction in phosphorus content.