Thermomechanical relaxation events and different water states in cottonseed protein bioplastics are presented whilst investigating the effects of aldehyde cross-linking agents. Thermomechanical relaxation of cottonseed protein bioplastics associated with protein denaturation, moisture absorption and broad glass transitions (Tg) were observed from DSC and DMA measurements. It was shown that variation of the aldehyde influences the storage modulus at very low temperature (below Tg). From measurements of the water fusion point, enthalpy, vaporisation, and weight loss, three water states in the water-absorbed bioplastics are suggested; namely strongly-bound-to-polymer, weakly-bound-to-polymer and bulk-like water. The water content and unreacted cross-linking agents are influential factors in controlling formation of the different water states, whilst the selection of different aldehydes was found to be negligible. These results could be valuable for adjusting the thermomechanical relaxations of protein based bioplastics, and tailoring their properties in wet environments.