This paper reports an experimental high-pressure study of natural mineral ferberite (FeWO4) up to 20 GPa using diamond-anvil cells. First-principles calculations have been used to support and complement the results of the experimental techniques. X-ray diffraction patterns show that FeWO4 crystallizes in the wolframite structure at ambient pressure and is stable over a wide pressure range, as is the case for other wolframite AWO4 (A = Mg, Mn, Co, Ni, Zn, or Cd) compounds. No structural phase transitions were observed for FeWO4, in the pressure range investigated. The bulk modulus (B0 = 136(3) GPa) obtained from the equation of state is very close to the recently reported value for CoWO4 (131(3) GPa). According to our optical absorption measurements, FeWO4 has an indirect band gap that decreases from 2.00(5) eV at ambient pressure to 1.56(5) eV at 16 GPa. First-principles simulations yield three infrared-active phonons, which soften with pressure, in contrast to the Raman-active phonons. These results agree with Raman spectroscopy experiments on FeWO4 and are similar to those previously reported for MgWO4. Our results on FeWO4 are also compared to previous results on other wolframite-type compounds.