Proteins are known to undergo a dynamical transition at around 200 K but the underlying mechanism, physical origin, and relationship to water are controversial. Here we report an observation of a protein dynamical transition as low as 110 K. This unexpected protein dynamical transition precisely correlated with the cryogenic phase transition of water from a high-density amorphous to a low-density amorphous state. The results suggest that the cryogenic protein dynamical transition might be directly related to the two liquid forms of water proposed at cryogenic temperatures.