Under ambient condition PdSe2 has the PdS2-type structure. The crystal structure of PdSe2 under pressure (up to 30 GPa) was investigated at room temperature by X-ray diffraction in an energy-dispersive configuration using a diamond anvil cell with a mixture of water/ethanol/methanol as a pressure transmitting medium. A reversible structural transition from the PdS2-type to the pyrite-type structure occurs around 10 GPa, and the applied pressure reduces the spacing between adjacent 2/proportional to [PdSe2] layers of the PdS2-type structure to form the three-dimensional lattice of the pyrite-type structure. First principles and extended Hückel electronic band structure calculations were carried out to confirm the observed pressure-induced structural changes. We also examined why the isoelectronic analogues NiSe2 and PtSe2 adopt structures different from the PdS2-type structure on the basis of qualitative electronic structure considerations.