Dynamic light scattering (DLS) is extensively used for measuring macromolecule diffusion coefficients. Contrary to classical techniques based on macroscopic concentration gradients, DLS probes microscopic fluctuations in concentration. DLS accuracy and its concordance with macroscopic-gradient techniques remains an outstanding important issue. We measured lysozyme diffusion coefficients in aqueous salt using both DLS and Rayleigh interferometry, a highly accurate macroscopic-gradient technique. The precision of our results is unprecedented. We find that our DLS values were systematically 2% higher than interferometry values. We believe that our interferometric mesurements have produced the most accurate diffusion data ever reported for a protein, providing a new standard for quality control of DLS measurements. Furthermore, by interferometry, we have determined the whole diffusion coefficient matrix required for rigorously describing lysozyme-salt coupled diffusion. For the first time, we experimentally demonstrate that DLS does not provide the protein diffusion coefficient but one eigenvalue of the diffusion coefficient matrix.