An ultrafast pump-probe spectroscopy system combined with a cryogenic diamond anvil cell (DAC) instrument was developed to investigate the photo-excitation dynamic properties of condensed materials under low temperature and high pressure (LTHP) conditions. The ultrafast dynamics study was performed on Bi2Sr2CaCu2O8+δ (Bi-2212) thin film under LTHP conditions. The superconducting (SC) phase transition has been observed by analyzing the ultrafast dynamics of Bi-2212 as a function of pressure and temperature. Our results suggest that the pump-probe spectroscopy system combined with a cryogenic DAC instrument is an effective method to study the physical mechanism of condensed matter physics at extreme conditions, especially for the SC phase transition.