Moisture adsorption isotherms of colostral whey (CW) powders with different additives (maltodextrin and sucrose) were determined using gravimetric static method at 15–35 °C in the water activity range of 0.067–0.76. The moisture adsorption isotherms obtained were typical sigmoid curves, and the modified-Halsey and Guggenheim–Anderson–de Boer (GAB) equations gave the best fit to experimental data among five well-known equations. Addition with maltodextrin into CW powders could effectively decrease equilibrium moisture content (EMC), whereas addition with sucrose increased EMC in the water activity of 0.43–0.76 at 15 and 25 °C and in the water activity of 0.21–0.76 at 35 °C, respectively. Thermodynamic properties including net isosteric heat of sorption and differential entropy were determined from adsorption data using Clausius–Clapeyron equation. The results showed that net isosteric heat of sorption of all the samples decreased exponentially with increasing EMC. Enthalpy–entropy compensation theory was applicable for adsorption process of all the samples, and the adsorption processes were enthalpy-driven.