Water is considered integral for the stabilization and function of proteins, which has recently attracted significant attention. However, the microscopic aspects of water ranging up to the second hydration shell, including strongly and weakly bound water at the sub-nanometer scale, are not yet well understood. Here, we combined terahertz spectroscopy, thermal measurements, and infrared spectroscopy to clarify how the strongly and weakly bound hydration water changes upon protein denaturation. With denaturation, that is, the exposure of hydrophobic groups in water and entanglement of hydrophilic groups, the number of strongly bound hydration water decreased, while the number of weakly bound hydration water increased. Even though the constraint of water due to hydrophobic hydration is weak, it extends to the second hydration shell as it is caused by the strengthening of hydrogen bonds between water molecules, which is likely the key microscopic mechanism for the destabilization of the native state due to hydration.