We investigate the thermodynamics of hydrophobic oligomer collapse using a water-explicit, three-dimensional lattice model. The model captures several aspects of protein thermodynamics, including the emergence of cold- and thermal-unfolding, as well as unfolding at high solvent density (a phenomenon akin to pressure-induced denaturation). We show that over a range of conditions spanning a ≈14% increase in solvent density, the oligomer transforms into a compact, strongly water-penetrated conformation at low temperature. This contrasts with thermal unfolding at high temperature, where the system "denatures" into an extended random coil conformation. We report a phase diagram for hydrophobic collapse that correctly captures qualitative aspects of cold and thermal unfolding at low to intermediate solvent densities.