Ultrafast, multi-dimensional infrared spectroscopy, in the form of 2D-IR and pump-probe measurements, has been employed to investigate the effect of substrate binding on the structural dynamics of the horseradish peroxidase (HRP) enzyme. Using nitric oxide bound to the ferric haem of HRP as a sensitive probe of local dynamics, we report measurements of the frequency fluctuations (spectral diffusion) and vibrational lifetime of the NO stretching mode with benzohydroxamic acid (BHA) located in the substrate-binding position at the periphery of the haem pocket, in both D2O and H2O solvents. The results reveal that, with BHA bound to the enzyme, the local structural dynamics are insensitive to H/D exchange. These results are in stark contrast to those found in studies of the substrate-free enzyme, which demonstrated that the local chemical and dynamic environment of the haem ligand is influenced by water molecules. In light of the large changes in solvent accessibility caused by substrate binding, we discuss the potential for varying roles for the solvent in the haem pocket of HRP at different stages along the reaction coordinate of the enzymatic mechanism.