Path integral Monte Carlo approach is used to study the coupled quantum dynamics of the electron and nuclei in hydrogen molecule ion. The coupling effects are demonstrated by comparing differences in adiabatic Born--Oppenheimer and non-adiabatic simulations, and inspecting projections of the full three-body dynamics onto adiabatic Born--Oppenheimer approximation. Coupling of electron and nuclear quantum dynamics is clearly seen. Nuclear pair correlation function is found to broaden by 0.040 a_0 and average bond length is larger by 0.056 a_0. Also, non-adiabatic correction to the binding energy is found. Electronic distribution is affected less, and therefore, we could say that the adiabatic approximation is better for the electron than for the nuclei.