The MSb2 compounds with M = Cr, Fe, Ru, and Os have been investigated under high pressures by synchrotron powder X-ray diffraction. All compounds, except CrSb2, were found to retain the marcasite structure up to the highest pressures (more than 50 GPa). In contrast, we found that CrSb2 has a structural phase transition around 10 GPa to a metastable, MoP2-type structure with Cr coordinated to seven Sb atoms. In addition, we compared ambient temperature compression with laser-heating experiments and found that laser-heating at pressures below and above this phase transition results in the known CuAl2-type structure. Density functional theory calculations show that this tetragonal structure is the most stable in the whole pressure interval. However, a crossing of the marcasite's and MoP2-like structure's enthalpies occurs between 5 and 7.5 GPa, which is in good agreement with the experimental data. The phase transition to the MoP2-type structure observed in this work opens up for discovering other compounds with this new transition pathway from the marcasite structure.