Pressure engineering is considered as a novel strategy to modulate the properties of transition metal dichalcogenide materials. Here, through photoluminescence (PL) and Raman measurements, we investigate the electronic band structure variation and lattice vibrational dynamics of monolayer tungsten diselenide (WSe2) under pressure. As the pressure increases, the energy of the direct Κ→Κ interband transition increases, whereas that of the indirect Λ→Κ interband transition decreases, leading to a significant transition from direct to indirect band gap at 3.8 GPa. With the increase of pressure, the intensity of the direct Κ→Κ interband transition constantly decreases and finally vanishes around 12.2 GPa. Moreover, a remarkable transition between A′ and LA(M) modes under pressure has been determined by virtue of Raman spectra variations, which indicate a pressure‐induced lattice disorder. This work provides a deep understanding of the intrinsic variation of WSe2 under pressure, which effectively facilitates the development of device applications.