Beryllium oxides, at ambient pressure, have been extensively studied due to their unique chemical bonds and applications. However, the long-desirable target beryllium peroxide (BeO2) has not been reported, thus far. Currently, the application of pressure has become a powerful tool in finding unusual stoichiometric compounds with exotic properties. Here, swarm structural searches in combination with first-principles calculations disclosed that the reaction of BeO and oxygen, at pressures above 89.6 GPa, yields BeO2. Interestingly, this reaction pressure is lower than the phase transition pressure (106 GPa) of pure BeO. BeO2 crystallizes in FeS2-type structure, whose remarkable feature is that it contains peroxide group (O22-) with an O-O distance of 1.40 Å at 100 GPa. Notably, O22- is maintained in the pressure range of 89.6-300 GPa. The chemical bonding analysis shows that the uniformly distributed ionic Be-O and covalent O-O bonding network plays a key role in determining its structural stability. BeO2 is a direct band gap nonmetal, and its band gap becomes larger with increase of pressure, which is in sharp contrast with BaO2. Moreover, phase diagram of Be-O binary compounds with various BexOy (x = 1-3, y = 1-6) compositions at pressures of up to 300 GPa was reliably built. Our results are also important for enriching the understanding of beryllium oxides.