Differential EXAFS (DiffEXAFS) is able to detect subtle atomic perturbations in the local area of the absorbing atom. Here a new method of performing DiffEXAFS experiments under the modulation of high pressure has been developed. Periodic pressure was achieved in the gasket with the help of a dynamic diamond anvil cell, and the measurements were conducted in common energy-scanning mode. This technique has been utilized on ZnSe at 4.8 GPa. The present results have demonstrated a good agreement with the equation of state of ZnSe, and revealed sensitivity to atomic displacements of one order higher in magnitude than that of conventional EXAFS.