Through high-energy x-ray diffraction and atomic pair density function analysis we find that Zr-based metallic alloy, heated to the supercooled liquid state under hydrostatic pressure and then quenched to room temperature, exhibits a distinct glassy structure. The PDF indicates that the Zr-Zr distances in this glass are significantly reduced compared to those quenched without pressure. Annealing at the glass transition temperature at ambient pressure reverses structural changes and the initial glassy state is recovered. This result suggests that pressure causes a liquid-to-liquid phase transition in this metallic alloy supercooled melt. Such a pressure induced transition is known for covalent liquids, but has not been observed for metallic liquids. The High Pressure Quenched glasses are stable in ambient conditions after decompression.