First of all, I have never heard that to be true of protein powder. But, I don't really care for all of the additives that are put in many brands, so I usually stick with one brand that has very little added to it.
But, if you choose to go without protein, other sources of inexpensive proteins include cottage cheese, egg whites, soy products. In addition, you can look for bargains as things go on sale. This time of year, you may find that turkey drops big time. Our local store usually has a sale in which you can buy a whole bird for pennies per pound, along with an accompanying purchase. You don't have to save the bird for Thanksgiving; you could roast it up and then freeze the portions for later.
Also, about once per month, our grocery store drops the price per pound on chicken breast, and so I end up stocking up on that. I also watch for sales on extra lean ground beef, and then stock up.
I think you get the picture, it takes a bit of smart shopping.