The thermal folding of hydrated lysozyme has been investigated by means of the high resolution nuclear magnetic resonance (NMR) technique. The proton NMR signal belonging to the biomolecule hydration water (hydration level h = 0.3) was analyzed with the aim to explore the protein structural changes as well as to verify if water plays a role in this biological basic phenomenon. In such a way, we studied the proton chemical shift and the “apparent spin–spin relaxation time” for which water molecules assume the role of system probes in a situation in which the limited hydration of a solid-globular lyophilized protein sample (covering on average the first hydration shell) enables data interpretation devoid of complications arising from bulk water. The study was performed by means of proper temperature changes, different warming and cooling cycles, that starting from the protein in the native state explore the reversible and the irreversible phases of the denaturation. The obtained results confirm that water as a “local probe” follows accurately all the protein behaviors, detailing properly its structural and dynamical changes in this transition, from native to denatured. Since the water chemical shift, as proposed by commonly accepted theoretical and MD simulations findings, is linked to the hydrogen bond (HB) interactions, the obtained data suggest that the denaturation process is related to the average number of bonds in which the water molecules are involved.