The current trend in the food industry is towards “clean label” products with high sensory and nutritional quality. However, the inclusion of nutrient-rich ingredients in recipes often leads to sensory deficiencies in baked goods. To meet these requirements, physically modified flours are receiving more and more attention from bakery product developers. There are various findings in the literature on high hydrostatic pressure (HHP) technology, which can be used to modify various matrices so that they can be used as ingredients in the baking industry. HHP treatments can change the functionality of starches and proteins due to cold gelatinization and protein unfolding. As a result, the resulting ingredients are more suitable for nutrient-rich bakery formulations. This review describes the information available in the literature on HHP treatment conditions for ingredients used in the production of bakery products and analyses the changes in the techno-functional properties of these matrices, in particular their ability to act as structuring agents. The impact of HHP-treated ingredients on the quality of dough and bakery products and the effects on some nutritional properties of the treated matrices have been also analysed. The findings presented in this paper could be of particular interest to the bakery industry as they could be very useful in promoting the industrial application of HHP technology.