The influence of pressure on the structure and protein-protein interaction potential of dense protein solutions was studied and analyzed using small-angle x-ray scattering in combination with a liquid state theoretical approach. The structural as well as the interaction parameters of dense lysozyme solutions are affected by pressure in a nonlinear way. The structural properties of water lead to a modification of the protein-protein interactions below 4 kbar, which might have significant consequences for the stability of proteins in extreme natural environments.