The ionic phosphate groups in the DNA backbone play a key role for DNA hydration. We study ultrafast vibrational dynamics and local interactions of phosphate groups and water by femtosecond two-color pump-probe spectroscopy. The asymmetric (PO2)(-) stretching vibration nu(AS)(PO2)(-) of artificial DNA oligomers containing 23 alternating adenine-thymine base pairs displays a lifetime of 340 fs, independent of the hydration level. For DNA at zero relative humidity, excess energy from the decay of the phosphate excitation is transferred within DNA on a 20 ps time scale. For fully hydrated DNA, the water shells around the phosphates serve as a primary heat sink accepting vibrational excess energy from DNA on a femtosecond time scale. OH stretching excitation of water molecules around fully hydrated DNA induces an ultrafast nu(AS)(PO2)(-) response which includes rearrangements of the hydration shell and a reduction of the average number of phosphate-water hydrogen bonds.