Major Histocompatibility Complex (MHC) class I molecules selectively bind peptides for presentation to cytotoxic T cells. The peptide-free state of these molecules is not well understood. Here, we characterize a disulfide-stabilized version of the human class I molecule HLA-A*02:01 that is stable in the absence of peptide and can readily exchange cognate peptides. We present X-ray crystal structures of the peptide-free state of HLA-A*02:01, together with structures that have dipeptides bound in the A and F pockets. These structural snapshots reveal that the amino acid side chains lining the binding pockets switch in a coordinated fashion between a peptide-free unlocked state and a peptide-bound locked state. Molecular dynamics simulations suggest that the opening and closing of the F pocket affects peptide ligand conformations in adjacent binding pockets. We propose that peptide binding is co-determined by synergy between the binding pockets of the MHC molecule.