A confocal set-up is presented that improves micro-XRF and XAFS experiments with high-pressure diamond-anvil cells (DACs). In this experiment a probing volume is defined by the focus of the incoming synchrotron radiation beam and that of a polycapillary X-ray half-lens with a very long working distance, which is placed in front of the fluorescence detector. This set-up enhances the quality of the fluorescence and XAFS spectra, and thus the sensitivity for detecting elements at low concentrations. It efficiently suppresses signal from outside the sample chamber, which stems from elastic and inelastic scattering of the incoming beam by the diamond anvils as well as from excitation of fluorescence from the body of the DAC.