Self-assembly of proteins often gives rise to interesting quasi-stable structures that serve important biological purposes. Insulin hexamer is such an assembly. While monomer is the biologically active form of insulin, hexamer serves as the storehouse of the hormone. The hexamer also prevents the formation of higher order aggregates. While several studies explored the role of bivalent metal ions like Zn2+, Ca2+, etc., in the stabilization of the hexameric form, the role of water molecules has been ignored. We combine molecular dynamics simulations, quantum calculations, and X-ray analyses to discover that a team of approximately 10 water molecules confined inside a barrel-shaped nanocavity at the center of insulin hexamer is one of the major causes that account for the unusual stability of the biomolecular assembly. These cavity water molecules exhibit interesting, dynamical features like intermittent escape and reentrance. We find that these water molecules are dynamically slower than the bulk and weave an intricate hydrogen bond network among themselves and with neighboring protein residues to generate a robust backbone at the center of the hexamer that holds the association strongly from inside and maintains the barrel shape.