Fusion of the HIV membrane with that of a target T cell is an essential first step in the viral infection process. Here we describe single-particle tracking (SPT) studies of a 16-amino-acid peptide derived from the HIV fusion protein (FP16), as it interacts with a supported lipid bilayer. FP16 was found to spontaneously insert into and move within the bilayer with two different modes of diffusion, a fast mode with a diffusion coefficient typical of protein motion in membranes and a much slower one. We observed transitions between the two modes: slow peptides were found to speed up, and fast peptides could slow down. Hidden Markov model analysis was employed as a method for the identification of the two modes in single-molecule trajectories and analysis of their interconversion rates. Surprisingly, the diffusion coefficients of the two modes were found to depend differently on solution viscosity. Thus, whereas the fast diffusive mode behaved as predicted by the Saffman-Delbrück theory, the slow mode behaved according to the Stokes-Einstein relation. To further characterize the two diffusive modes, FP16 molecules were studied in bilayers cooled through their liquid crystalline-to-gel phase transition. Our analysis suggested that the slow diffusive mode might originate from the formation of large objects, such as lipid domains or local protrusions, which are induced by the peptides and move together with them.