The brewing and baking yeast Saccharomyces cerevisiae is a useful eukaryotic model of stress response systems whose study could lead to the understanding of stress response mechanisms in other organisms. High hydrostatic pressure (HHP) exerts broad effects upon yeast cells, interfering with cell membranes, cellular architecture, and the processes of polymerization and denaturation of proteins. In this review, we focus on the effect of HHP on the S. cerevisiae cell membrane and describe the main signaling pathways involved in the pressure response.