The temperature dependence of the heat capacity function of holo and apo alpha-lactalbumin has been studied by high sensitivity differential scanning microcalorimetry. The heat capacities of the holo and apo forms in the native state were found to be close to, but somewhat higher than, that of lysozyme, which has a similar structure. At pH values higher than 5, the heat-denatured state and the unfolded state are indistinguishable. At lower pH values, the heat capacity of the state obtained by heat or acid denaturation is lower than what is expected for the completely unfolded polypeptide chain, but it approaches that value at higher temperatures. The heat capacity increment of the denatured state correlates well with the amount of residual structure measured by ellipticity (i.e., the lower the residual structure, the higher the heat capacity). The extent of residual structure in the denatured state, which is exceptionally high in alpha-lactalbumin, decreases upon increasing temperature and at approximately 110 degrees C becomes close to that observed in 6 M GdmCl. Above 110 degrees C, the denatured state of alpha-lactalbumin is practically indistinguishable in heat capacity and ellipticity from the fully unfolded state. The calorimetric data have been analyzed quantitatively using a statistically thermodynamic formalism. This analysis indicates that the long-range or global cooperativity of the protein is lost after heat denaturation of the native state, causing the remaining elements of residual structure to behave in a more or less independent fashion. At pH values close to neutral, heat denaturation occurs at high temperature and yields a totally unfolded polypeptide with no measurable population of partly folded intermediates. At lower pH values, denaturation occurs at lower temperatures and a progressively higher population of intermediates is observed. At pH 4.2, about 50% of the molecules is in compact intermediate states immediately after heat denaturation; however, at pH 3.5, this percentage is close to 80% and at pH 3.0 it reaches about 100% of the protein molecules. Upon heating, the unfolded state progressively becomes the predominant species. The analysis of the heat capacity data for alpha-lactalbumin indicates that the best model to account for the observed behavior is one in which the denatured state is represented as a distribution of substates with varying degrees of residual structure. At low temperatures, the distribution is centered around rather compact substates with significant residual structure. At higher temperatures, the distribution shifts toward states with less residual structure and eventually to the completely unfolded state.