The hydrophobic effect is a major driving force in protein folding. A complete understanding of this effect requires the description of the conformational states of water and protein molecules at different temperatures. Towards this goal, we characterise the cold and hot denatured states of a protein by modelling NMR chemical shifts using restrained molecular dynamics simulations. A detailed analysis of the resulting structures reveals that water molecules in the bulk and at the protein interface form on average the same number of hydrogen bonds. Thus, even if proteins are 'large' particles (in terms of the hydrophobic effect, i.e. larger than 1 nm), because of the presence of complex surface patterns of polar and non-polar residues their behaviour can be compared to that of 'small' particles (i.e. smaller than 1 nm). We thus find that the hot denatured state is more compact and richer in secondary structure than the cold denatured state, since water at lower temperatures can form more hydrogen bonds than at high temperatures. Then, using Φ-value analysis we show that the structural differences between the hot and cold denatured states result in two alternative folding mechanisms. These findings thus illustrate how the analysis of water-protein hydrogen bonds can reveal the molecular origins of protein behaviours associated with the hydrophobic effect.