We demonstrate that fused silica capillaries are suitable for single molecule fluorescence resonance energy transfer (smFRET) measurements at high pressure with an optical quality comparable to the measurement on microscope coverslips. Therefore, we optimized the imaging conditions in a standard square fused silica capillary with an adapted arrangement and evaluated the performance by imaging the focal volume, fluorescence correlation spectroscopy benchmarks, and FRET measurements. We demonstrate single molecule FRET measurements of cold shock protein A unfolding at a pressure up to 2000 bars and show that the unfolded state exhibits an expansion almost independent of pressure.