The mechanism of osmolyte protection of proteins against urea denaturation is of great significance. However, whether these two constituents are acting independently or acting synergistically is still a matter of debate. In this study, direct experimental evidence confirmed the synergistic behavior between betaine and urea. Anhydrous liquid which is commonly named deep eutectic solvent (DES) could be formed by a combination of betaine and urea under the condition of a certain molar ratio (in the range of 1:1 to 1:3), although both the betaine and urea are solids at room temperature. Differential scanning calorimetry (DSC) and FT-IR analysis discovered that the hydrogen-bonding interaction may attribute to the main force of such DES and lead to synergistic behavior of betaine–urea mixture. In addition, according to the 1H NMR spectra, the intensity of the urea–betaine interaction and urea–water interaction is betaine–urea mixture concentration-dependent. Reversible evaluation of the thermal lysozyme unfolding by circular dichroism (CD) spectra further confirmed that betaine–urea mixture concentration is also a key factor that contributes to betaine counteraction of urea-induced protein denaturation.