Ulysses observations at mid and high heliographic latitudes have revealed a solar wind devoid of the large variations in density, temperature, and speed that are commonly observed at low latitudes. One event, however, observed on May 1, 1996, while Ulysses was located at ~3.7 AU and 38.5¿, stands out in the plasma data set. The structure, which is unique in the Ulysses high-latitude data set, is seen as a drop in proton density of almost an order of magnitude and a comparable rise in proton temperature. The event lasts ~312 hours giving the structure a size of ~9.6¿106 km (0.06 AU) along the spacecraft trajectory. Minimum variance analysis of this interval indicates that the angle between the average magnetic field direction and the minimum variance direction is ~92¿, suggesting that the density hole may be approximated by a series of planar slabs separated by several tangential discontinuities. We discuss several possible explanations for the origin of this structure, but ultimately the origin of the density hole remains unknown. ¿ 1998 American Geophysical Union