Electrochemical conversion of CH4 to easily transportable and value-added liquid fuels is highly attractive for energy-efficient CH4 utilization, but it is challenging due to the low reactivity and solubility of CH4 in the electrolyte. Herein, we report a high-pressure electro-Fenton (HPEF) strategy to establish a hetero-homogeneous process for the electrocatalytic conversion of CH4 by O2 at room temperature. In combination with elevation of reactant pressure to accelerate reaction kinetics, it delivers an unprecedented HCOOH productivity of 11.5 mmol h-1 gFe-1 with 220 times enhancement compared to that under ambient pressure. Remarkably, an HCOOH Faradic efficiency of 81.4% can be achieved with an ultralow cathodic overpotential of 0.38 V. The elevated pressure not only promotes the electrocatalytic reduction of O2 to H2O2 but also increases the reaction collision probability between CH4 and •OH, which is in situ generated from the Fe2+-facilitated decomposition of H2O2.