The diagonal anharmonicity of an amide I mode of protein backbones plays a critical role in a protein's vibrational dynamics and energy transfer. However, this anharmonicity of long-chain peptides and proteins in H2O environment is still lacking. Here, we investigate the anharmonicity of the amide I band of proteins at the lipid membrane/H2O interface using a surface-sensitive pump-probe setup in which a femtosecond infrared pump is followed by a femtosecond broadband sum frequency generation vibrational spectroscopy probe. It is found that the anharmonicity of the amide I mode in ideal α-helical and β-sheet structures at hydrophobic environments is 3-4 cm-1, indicating that the amide I mode in ideal α-helical and β-sheet structures is delocalized over eight peptide bonds. The anharmonicity increases as the bandwidth of the amide I mode increases due to the exposure of peptide bonds to H2O. More H2O exposure amounts lead to a larger anharmonicity. The amide I mode of the peptides with large H2O exposure amounts is localized in one to two peptide bonds. Our finding reveals that the coupling between the amide I mode and the H2O bending mode does not facilitate the delocalization of the amide I mode along the peptide chain, highlighting the impact of H2O on energy transfer and structural dynamics of proteins.