We present a spectroscopic and calorimetric study on the thermal denaturation of bovine beta-lactoglobulin (beta-lg) variant A. Spectroscopic data allowed detection of a stable intermediate emerging from structural modifications restricted to local regions of the native molecule. It is suggested that this kind of intermediate could be a common property of lipocalins. Using the same set of parameters that has successfully related thermodynamics and structural properties of other proteins, it is shown that the thermally denatured state of beta-lg retains a significant amount of buried hydrophobic surface area. Thus, despite being a small protein composed of a single structural domain, beta-lg exhibits a complex unfolding mechanism, comprising at least two other species different from the native and completely unfolded states.