The phase behavior of proteins is of interest for fundamental and practical reasons. The nucleation of new phases is one of the last major unresolved problems of nature. The formation of protein condensed phases (crystals, polymers, and other solid aggregates, as well as dense liquids and gels) underlies pathological conditions, plays a crucial role in the biological function of the respective protein, or is an essential part of laboratory and industrial processes. In this review, we focus on phase transitions of proteins in their properly folded state. We first summarize the recently acquired understanding of physical processes underlying the phase diagrams of the protein solutions and the thermodynamics of protein phase transitions. Then we review recent findings on the kinetics of nucleation of dense liquid droplets and crystals. We explore the transition from nucleation to spinodal decomposition for liquid-liquid separation and introduce the new concept of solution-to-crystal spinodal. We review the two-step mechanism of protein crystal nucleation, in which mesoscopic metastable protein clusters serve as precursors to the ordered crystal nuclei. The concepts and mechanisms reviewed here provide powerful tools for control of the nucleation process by varying the solution thermodynamic parameters.