Microstructure transformation of materials under compression is crucial to understanding their high-pressure phase transformation. However, direct observation of the microstructure of compressive materials is a considerable challenge, which impedes the understanding of the relations among phase transformation, microstructure, and material properties. In this study, we used transmission Kikuchi diffraction and transmission electron microscopy to intuitively characterize pressure-induced phase transformation and microstructure of TiO2. We observed the changes of twin boundaries with increasing pressure and intermediate phase TiO2-I of anatase transformed into TiO2-II (α-PbO2 phase) for the first time. The following changes occur during this transformation: anatase (diameter of ∼100 nm) → anatase twins 60° along the [110] zone axis → intermediate TiO2-I twins 60° along the [010] zone axis → TiO2-II twins 90° along the [010] zone axis. These results directly reveal the crystallographic relation among these structures, enhancing our understanding of the phase transformation in TiO2 nanocrystals.