Iron oxide is one of the most important components in the Earth’s mantle. The recent discovery of the stable presence of Fe5O6 in the Earth’s mantle environment has stimulated significant interests in understanding of this new category of iron oxides. We report the electronic structure and magnetic properties of Fe5O6 calculated by the density functional theory plus dynamic mean field theory (DFT + DMFT) approach. Our calculations indicate that Fe5O6 is a conductor at ambient pressure with dominant Fe-3d density of states at the Fermi level. The magnetic moments of iron atoms at three non-equivalent crystallographic sites in Fe5O6 collapse at significantly different rates under pressure. This site-selective collapse of magnetic moments originates from the shifting of energy levels and the consequent charge transfer among the Fe-3d orbits when Fe5O6 is being compressed. Our simulations suggest that there could be high conductivity and volume contraction in Fe5O6 at high pressure, which may induce anomalous features in seismic velocity, energy exchange, and mass distribution in the deep interior of the Earth.