The analysis of recent, extended multicolour CCD and archive photoelectric, photographic and visual observations has revealed several important properties of RZ Lyr, an RRab-type variable exhibiting large-amplitude Blazhko modulation. On the time base of ∼110 yr, a strict anticorrelation between the pulsation- and modulation-period changes is established. The light curve of RZ Lyr shows a remarkable bump on the descending branch in the small-amplitude phase of the modulation, similarly to the light curves of bump Cepheids. We speculate that the stellar structure temporally suits a 4:1 resonance between the periods of the fundamental and one of the higher order radial modes in this modulation phase. The light-curve variation of RZ Lyr can be correctly fitted with a two-modulation-component solution; the 121-d period of the main modulation is nearly but not exactly four times longer than the period of the secondary modulation component. Using the inverse photometric method, the variations in the pulsation-averaged values of the physical parameters in different phases of both modulation components are determined.