Protein cavities or voids are observed as defects in atomic packing. Cavities have long been suggested to play important roles in protein dynamics and function, but the underlying origin and mechanism remains elusive. Here, recent studies about the cavities characterized by high-pressure NMR spectroscopy have been reviewed. Analysis of the pressure-dependent chemical shifts showed both linear and nonlinear response of proteins to pressure. The linear response corresponded to compression within the native ensemble, while the nonlinear response indicated the involvement of low-lying excited states that were different from the native state. The finding of non-linear pressure shifts in various proteins suggested that the existence of the low-lying excited states was common for globular proteins. However, the absolute nonlinear coefficient values varied significantly from protein to protein, and showed a good correlation with the density of cavities. Extensive studies on hen lysozyme as a model system showed that the cavity hydration and water penetration into the interior of proteins was an origin of the conformational transition to the excited states. The importance of cavities for protein function and evolution has also been explained. In addition to these "equilibrium" cavities, there are also "transient" cavities formed in the interior of the protein structure, as manifested by the ring flip motions of aromatic rings. The significance of transient cavities, reflecting an intrinsic dynamic nature within the native state, has also been discussed.