The effects of high pressure on pharmaceutical compounds and energetic materials can have important implications for both the properties and performance of these important classes of material. Pharmaceutical compounds are frequently subjected to pressure during processing and formulation, causing interconversion between solid forms that may affect properties such as solubility and bio-availability. Energetic materials experience extremes of both pressure and temperature under conditions of detonation and deflagration, causing changes in properties such as sensitivity to shock and chemical reactivity. This tutorial review outlines the various methods used to study these materials at high pressure, describes how pressure can be used to explore polymorphism, and provides examples of compounds that have been studied at high pressure.