Water has more than two glassy states, including low-density amorphous (LDA) and high-density amorphous (HDA) ice. We studied phase behavior of HDA ice by X-ray diffraction. The HDA ice was induced by rapidly cryocooling water (either in bulk state or in confined state such as in protein crystals) from room temperature to 77K under hydrostatic pressure (200 MPa). The X-ray diffraction study of HDA ice confined in the high-pressure cryocooled protein crystals revealed that it converts to low-density amorphous (LDA) ice upon warming (from 80 to 160K at 0.1 MPa), while showing the characteristics of a first order phase transition. Furthermore, we discovered that protein molecules in the high-pressure cryocooled protein crystals execute dynamical fluctuations during the water phase transition, suggesting a liquid or mobile state of water between HDA and LDA ice. Our findings support theories suggesting that LDA and HDA ice are thermodynamically distinct and they are continuously connected to two different liquid states of water.