Alex Wilson and Jens Krause from the Leibniz Institute of Freshwater Ecology and Inland Fisheries in Berlin found the group off the Azores islands in the northern Atlantic.
The dolphin, an adult bottlenose with a deformed spine which gave it a twisted physique, was displaying trusting, intimate behaviour with the sperm whales and their calves, the researchers said.
"These animals tolerated the dolphin. This is amazing, as sperm whales have until now never been observed indulging in friendly interaction with other species," said Wilson in a press release.
His team suspect that the dolphin joined the group of whales because of its deformity - which may have created problems physically keeping up with other dolphins. Another possibility was that its deformity could have led it to be bullied or rejected by other dolphins.
Yet why the sperm whales accepted the outsider into their group remained a mystery.
"One should not go so far as to speak of sympathy - we think the whales may simply enjoy the attention of the dolphin," suggested Wilson.
Photographs and details of the observation will soon be published in the journal Aquatic Mammals.