We report time-resolved measurements of the coupled protein-water modes of solvated ubiquitin during protein folding. Kinetic terahertz absorption (KITA) spectroscopy serves as a label-free technique for monitoring large scale conformational changes and folding of proteins subsequent to a sudden T-jump. We report here KITA measurements at an unprecedented time resolution of 500 ns, a resolution 2 orders of magnitude better than those of any previous KITA measurements, which reveal the coupled ubiquitin-solvent dynamics even in the initial phase of hydrophobic collapse. Complementary equilibrium experiments and molecular simulations of ubiquitin solutions are performed to clarify non-equilibrium contributions and reveal the molecular picture upon a change in structure, respectively. On the basis of our results, we propose that in the case of ubiquitin a rapid (<500 ns) initial phase of the hydrophobic collapse from the elongated protein to a molten globule structure precedes secondary structure formation. We find that these very first steps, including large-amplitude changes within the unfolded manifold, are accompanied by a rapid (<500 ns) pronounced change of the coupled protein-solvent response. The KITA response upon secondary structure formation exhibits an opposite sign, which indicates a distinct effect on the solvent-exposed surface.