Amino acids show apparent propensities toward their neighbors. In addition to preferences of amino acids for their neighborhood context, amino acid substitutions are also considered to be context-dependent. However, context-dependence patterns of amino acid substitutions still remain poorly understood. Using relative entropy, we investigated the neighbor preferences of 20 amino acids and the context-dependent effects of amino acid substitutions with protein sequences in human, mouse, and dog. For 20 amino acids, the highest relative entropy was mostly observed at the nearest adjacent site of either N- or C-terminus except C and G. C showed the highest relative entropy at the third flanking site and periodic pattern was detected at G flanking sites. Furthermore, neighbor preference patterns of amino acids varied greatly in different secondary structures. We then comprehensively investigated the context-dependent effects of amino acid substitutions. Our results showed that nearly half of 380 substitution types were evidently context dependent, and the context-dependent patterns relied on protein secondary structures. Among 20 amino acids, P elicited the greatest effect on amino acid substitutions. The underlying mechanisms of context-dependent effects of amino acid substitutions were possibly mutation bias at a DNA level and natural selection. Our findings may improve secondary structure prediction algorithms and protein design; moreover, this study provided useful information to develop empirical models of protein evolution that consider dependence between residues.