The dielectric behavior of native and heat-denatured lysozyme in ethanol-water solutions was examined in the frequency range from 1 MHz to 2 GHz, using frequency-domain dielectric relaxation spectroscopy. Because of the conformational changes on unfolding, dielectric methods provide information on the denaturation process of the protein and, at protein concentration high enough, on the subsequent aggregation and gelation. Moreover, the time evolution of the protein aggregation and gelation was monitored measuring, by means of dynamic light scattering methods, the diffusion coefficient of micro-sized polystyrene particles, deliberately added to the protein solution, which act as a probe of the viscosity of the microenvironment close to the particle surface. All together, our measurements indicate that heat-induced denaturation favors, at high concentrations, a protein aggregation process which evolves up to the full gelation of the system. These findings have a direct support from IR measurements of the absorbance of the amide I band that, because of the unfolding, indicate that proteins entangle each other, producing a network structure which evolves, in long time limit, in the gel.