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A new facility for simultaneous extended X-ray absorption of fine structure (EXAFS), X-ray diffraction and photoluminescence measurements under high pressures has been developed for use on station 9.3 at the Daresbury Laboratory Synchrotron Radiation Source. This high-pressure facility can be used at any suitable beamline at a synchrotron source. Full remote operation of the rig allows simultaneous collection of optical and structural data while varying the pressure. The set-up is very flexible and can be tailored for a particular experiment, such as time- or temperature-dependent measurements. A new approach to the collection of high-pressure EXAFS data is also presented. The approach significantly shortens the experimental times and allows a dramatic increase in the quality of EXAFS data collected. It also opens up the possibility for EXAFS data collection at any pressure which can be generated using a diamond cell. The high quality of data collected is demonstrated with a GaN case study. Particular attention will be paid to the use of energy-dispersive EXAFS and quick-scanning EXAFS techniques under pressure.