The second main bovine whey protein, α-lactalbumin, was hydrolyzed by thermolysin at 70 °C, i.e., in a molten-globule conformational state susceptible to enzyme attack, for production of small peptides with potential antioxidative properties. The main thermolytic fragments were then purified by reversed-phase liquid chromatography and identified by mass spectrometry. Antioxidant activities of the protein, its thermolytic hydrolyzate, and pure peptides were evaluated using 2,2′-azinobis[3-ethylbenzothiazoline-6-sulfonate] (ABTS⁺) radical-scavenging activity. The whole protein and its hydrolyzate exhibited antioxidant activities comparable with that of Trolox, a vitamin E analog. Among the thermolytic fragments, five peptides, all containing at least one Tyr or Trp residue located at one of the extremities of the sequence, displayed the most efficient antioxidant activities. In particular, Ile¹⁰¹-Asn-Tyr-Trp¹⁰⁴ and Leu¹¹⁵-Asp-Gln-Trp¹¹⁸ possessed remarkable radical-scavenging capacity, 5-fold and 10-fold higher, respectively, than those of gallic acid and Trolox tested under the same experimental conditions.