Constant pressure and temperature molecular dynamics techniques have been employed to investigate the changes in structure and volumes of two globular proteins, superoxide dismutase and lysozyme, under pressure. Compression (the relative changes in the proteins' volumes), computed with the Voronoi technique, is closely related with the so-called protein intrinsic compressibility, estimated by sound velocity measurements. In particular, compression computed with Voronoi volumes predicts, in agreement with experimental estimates, a negative bound water contribution to the apparent protein compression. While the use of van der Waals and molecular volumes underestimates the intrinsic compressibilities of proteins, Voronoi volumes produce results closer to experimental estimates. Remarkably, for two globular proteins of very different secondary structures, we compute identical (within statistical error) protein intrinsic compressions, as predicted by recent experimental studies. Changes in the protein interatomic distances under compression are also investigated. It is found that, on average, short distances compress less than longer ones. This nonuniform contraction underlines the peculiar nature of the structural changes due to pressure in contrast with temperature effects, which instead produce spatially uniform changes in proteins. The structural effects observed in the simulations at high pressure can explain protein compressibility measurements carried out by fluorimetric and hole burning techniques. Finally, the calculation of the proteins static structure factor shows significant shifts in the peaks at short wavenumber as pressure changes. These effects might provide an alternative way to obtain information concerning compressibilities of selected protein regions.