This work presents a monolithic finite element strategy for the accurate solution of strongly‐coupled fluid‐structure‐electrostatics interaction problems involving a compressible fluid. The complete set of equations for a compressible fluid is employed within the framework of the arbitrary Lagrangian–Eulerian (ALE) fluid formulation on the reference configuration. The proposed numerical approach incorporates geometric nonlinearities of both the structural and fluid domains, and can thus be used for investigating dynamic pull‐in phenomena and squeeze film damping in high aspect‐ratio micro‐electro‐mechanical systems (MEMS) structures immersed in a compressible fluid. Through various illustrative examples, we demonstrate the significant influence of fluid compressibility on the dynamics of MEMS devices subjected to constrained geometry and/or high‐frequency electrostatic actuation. Moreover, we compare the proposed formulation with the nonlinear compressible Reynolds equation and highlight that, particularly at low pressures and high fluid viscosity, the Reynolds equation fails to provide a reliable approximation to the complete set of equations utilized in our proposed formulation.