Recent Förster resonance energy transfer (FRET) experiments show that heat-unfolded states of proteins become more compact with increasing temperature. At the same time, NMR results indicate that cold-denatured proteins are more expanded than heat-denatured proteins. To clarify the connection between these observations, we investigated the unfolded state of yeast frataxin, whose cold denaturation occurs at temperatures above 273 K, with single-molecule FRET. This method allows the unfolded state dimensions to be probed not only in the cold- and heat-denatured range but also in between, i.e., in the presence of folded protein, and can thus be used to link the two regimes directly. The results show a continuous compaction of unfolded frataxin from 274 to 320 K, with a slight re-expansion at higher temperatures. Cold- and heat-denatured states are thus essentially two sides of the same coin, and their behavior can be understood within the framework of the overall temperature dependence of the unfolded state dimensions.