The effect of pressure on the unfolding of bovine α-lactalbumin was investigated by ultraviolet absorption methods. The change of molar volume associated with unfolding, ΔV, was measured in the presence or absence of guanidine hydrochloride at pH 7. The ΔV was estimated to be −63 cm3/mol in the absence of a chemical denaturant. While in the presence of guanidine hydrochloride (GuHCl), it was found that ΔV was −66 cm3/mol at 25 °C and was independent of the concentration of GuHCl, despite the fact that the molten globule fraction in the total unfolding product decreased with the increase of GuHCl concentration. The results indicate that the volume of α-lactalbumin only changes at the transition from a native to a molten globule state, and almost no volume change has been found during the transition from a molten globule to the unfolded state.