Hydrophobic interaction is important for protein conformation. Conjugation of a hydrophobic group can introduce intermolecular hydrophobic contacts that can be contained within the molecule. It is possible that a strongly folded state can be formed in solution compared with the native state. In this study, we synthesized cholesteryl conjugated lysozyme (CHLysozyme) using lysozyme and cholesterol as the model protein and hydrophobic group, respectively. Cholesteryl conjugation to lysozyme was confirmed by nuclear-magnetic resonance. Differential-scanning calorimetry suggested that CHLysozyme was folded in solution. CHLysozyme secondary structure was similar to lysozyme, although circular dichroism spectra indicated differences to the tertiary structure. Fluorescence measurements revealed a significant increase in the hydrophobic surface of CHLysozyme compared with that of lysozyme; CHLysozyme self-associated by hydrophobic interaction of the conjugated cholesterol but the hydrophobic surface of CHLysozyme decreased with time. The results suggested that hydrophobic interaction changed from intramolecular interaction to an intermolecular interaction. Furthermore, the relative activity of CHLysozyme to lysozyme increased with time. Therefore, CHLysozyme likely forms a folded state with an extended durability of activity. Moreover, lysozyme was denatured in 100% DMSO but the local environment of tryptophan in CHLysozyme was similar to that of a native lysozyme. Thus, this study suggests that protein solution stability and resistance to organic solvents may be improved by conjugation of a hydrophobic group.