PEGylated proteins are widely used for therapeutic applications, therefore a fundamental understanding of the conjugates’ structure and their behaviour in solution is essential to promote new developments in this field. In the present work, myoglobin-poly(ethylene glycol) conjugates were synthesized and studied by differential scanning calorimetry and UV–vis spectroscopy to obtain information on the bioconjugates’ thermodynamic stability, also focusing on PEG’s role on the solvent-protein surface interaction. The overall results of this study indicated a thermal destabilization of the protein that follows the extent of the bioconjugation without, however, compromising the native structure which remains functional. Moreover, the myoglobin PEGylation prevented the post-denaturation aggregation phenomena and enhanced the protein thermal reversibility. The thermodynamic interpretation of the data indicated that the bioconjugation influences the solvent-exposed protein surface difference between native and denatured state, contributing to the interpretation of the overall protein modification and functionality.