Enhanced confinement is observed in neutral beam injector (NBI)-heated hydrogen discharges made in the stellarator TJ-II after the injection of a single cryogenic fuel pellet into the plasma core. In addition to the expected increase in electron density, ne, in the core after pellet injection (PI), the plasma diamagnetic energy content is seen to rise, with respect to similar discharges without PI, by up to 40%. Furthermore, the energy confinement time, τEdiag, as determined using a diamagnetic loop, is enhanced when compared to predictions obtained using the International Stellarator Scaling law [H. Yamada et al., Nucl. Fusion 45, 1684 (2005)] and the triple product, ne · Ti · τEdiag, exhibits a clear bifurcation point toward an improved confinement branch as compared to the branch product predicted by this scaling law. In general, once such a pellet-induced enhanced confinement (PiEC) phase has been established, it is characterized by steepened radial density gradients, by more negative plasma potential in the core, more negative radial electric fields, Er, across a broad plasma region, as well as by reductions in density and plasma potential fluctuations in the density gradient region. In addition, experimental observations show increased peaking of core radiation losses, this pointing to edge/core plasma decoupling. In parallel, neoclassical simulations of reference and PiEC plasmas predict increased particle and energy confinement times during a PiEC phase together with a more negative Er profile. Qualitative rather than quantitative agreement with experimental parameters is found, indicating that turbulence seems to play a significant role here. In summary, single cryogenic pellet injection facilitates the achievement of an enhanced operational regime that was previously not observed in NBI-heated discharges of the TJ-II.