This review is devoted to illustrate how the hydration of proteins is related to their volume and compressibility. Partial volume and partial compressibility are thermodynamic (macroscopic) quantities but they are uniquely sensitive to the structures of proteins because the hydration and the atomic packing (cavity) have counteractive effects on these parameters. Compressibility data give important information on the flexibility of the native structure and the conformation of denatured states. Viewing a protein from both the temperature and pressure axes should lead to a new paradigm in protein science.