Membrane proteins are embedded in the biological membrane where the chemically diverse lipid environment can modulate their structure and function. However, the thermodynamics governing the molecular recognition and interaction of lipids with membrane proteins is poorly understood. Here, we report a method using native mass spectrometry (MS), to determine thermodynamics of individual ligand binding events to proteins. Unlike conventional methods, native MS can resolve individual ligand binding events and, coupled with an apparatus to control the temperature, determine binding thermodynamic parameters, such as for protein lipid interactions. We validated our approach using three soluble protein ligand systems (maltose binding protein, lysozyme, and nitrogen regulatory protein) and obtained similar results to those using isothermal titration calorimetry and surface plasmon resonance. We also determined for the first time the thermodynamics of individual lipid binding to the ammonia channel (AmtB), an integral membrane protein from Escherichia coli. Remarkably, we observed distinct thermodynamic signatures for the binding of different lipids and entropy-enthalpy compensation for binding lipids of variable chain length. Additionally, using a mutant form of AmtB that abolishes a specific phosphatidylglycerol (PG) binding site, we observed distinct changes in the thermodynamic signatures for binding PG, implying these signatures can identify key residues involved in specific lipid binding and potentially differentiate between specific lipid binding sites.