Topological phases exhibit some of the most striking phenomena in modern physics. Much of the rich behaviour of quantum Hall systems, topological insulators, and topological superconductors can be traced to the existence of robust bound states at interfaces between different topological phases. This robustness has applications in metrology and holds promise for future uses in quantum computing. Engineered quantum systems-notably in photonics, where wavefunctions can be observed directly-provide versatile platforms for creating and probing a variety of topological phases. Here we use photonic quantum walks to observe bound states between systems with different bulk topological properties and demonstrate their robustness to perturbations-a signature of topological protection. Although such bound states are usually discussed for static (time-independent) systems, here we demonstrate their existence in an explicitly time-dependent situation. Moreover, we discover a new phenomenon: a topologically protected pair of bound states unique to periodically driven systems.