A small‐angle X‐ray scattering study on the pressure‐dependent behavior of human serum albumin (HSA) is presented. HSA is able to absorb cosolvents such as drugs or other hydrophobic substances and transport them, for example, in the human body. It is shown that the uptake of various substances is associated with increased pressure stability, which can be used as an indicator of protein–substance interaction. Especially the interaction between the substances and the hydrophobic pockets of the protein is an important aspect, which mainly depends on the hydrophobicity as well as the size of the used cosolvents. Specifically, drugs such as ibuprofen and theophylline increase the pressure stability of the protein enormously, while caffeine or TMAO, for example, has no strong influence.