It has been shown that bovine and human alpha-lactalbumins and carbonic anhydrase B can be transformed under different influence into a peculiar state possessing physical characteristics intermediate between those for the native and unfolded states. In this state a protein molecule is compact and has the secondary structure similar to that of the native molecule, but does not melt cooperatively at heating, has an anomalously fast H-D exchange and a more or less symmetrical average environment of aromatic and other side groups. A model of this "intermediate" state of protein molecule is proposed, according to which the intermediate state differs from the native one mainly by the substantial increase of protein structure fluctuations and the sharp decrease of van der Waals and other specific interactions. It has been shown that the transition from the native state to this intermediate state is the phase transition of the first order. The role of the intermediate state in protein folding is discussed.