In solid state physics, pressure is an essential parameter, which can continuously change the interaction between electrons. The combination of terahertz electron spin resonance (THz ESR) with pressure is a powerful approach to clarify the spin state under pressure from the microscopic point of view, especially for quantum magnets. The most important feature of our high-pressure THz ESR system is that our pressure cell ensures the high pressure and wide frequency range using ceramics in internal parts, which are well balanced in terms of toughness and transmittance of electromagnetic waves. This approach allowed to very accurately describe the spin state under pressure. In this review, high-pressure ESR systems are reviewed with a focus on those in the high-frequency region. In addition, we show differences between other systems and our system. Moreover, we show the usefulness of our system by showing application examples of several magnetic materials of interest.