Internal cavities are important elements in protein structure, dynamics, stability and function. Here we use NMR spectroscopy to investigate the binding of molecular oxygen (O2) to cavities in a well-studied model for ligand binding, the L99A mutant of T4 lysozyme. On increasing the O2 concentration to 8.9 mM, changes in 1H, 15N, and 13C chemical shifts and signal broadening were observed specifically for backbone amide and side chain methyl groups located around the two hydrophobic cavities of the protein. O2-induced longitudinal relaxation enhancements for amide and methyl protons could be adequately accounted for by paramagnetic dipolar relaxation. These data provide the first experimental demonstration that O2 binds specifically to the hydrophobic, and not the hydrophilic cavities, in a protein. Molecular dynamics simulations visualized the rotational and translational motions of O2 in the cavities, as well as the binding and egress of O2, suggesting that the channel consisting of helices D, E, G, H, and J could be the potential gateway for ligand binding to the protein. Due to strong paramagnetic relaxation effects, O2 gas-pressure NMR measurements can detect hydrophobic cavities when populated to as little as 1%, and thereby provide a general and highly sensitive method for detecting oxygen binding in proteins.