In the case of plant-based proteins, of course, they are halal. However, when it comes to whey protein powder or casein, things get tricky.
Whey is a byproduct of the cheese-making process where milk is curdled by adding either "Rennet" or "pepsin". So if the whey is derived from the use of pepsin then it would not be halal. In the case of whey derived from Rennet, it would be halal if it was obtained from non-slaughtered animals or ritually slaughtered animals.
There are some products on the market which are certified, but these remain costly. We would recommend choosing a plant-based protein product for the best value in this case.