The high magnetic field behaviour of the triangular lattice antiferromagnet CuFeO2 is studied using single crystal neutron diffraction measurements in a field of up to 14.5 T and also by magnetisation measurements in a field of up to 12 T. At low temperature, two well-defined first order magnetic phase transitions are found in this range of applied magnetic field (H c): at Hc1 = 7.6(3)/7.1(3) T and Hc2 = 13.2(1)/12.7(1) T when ramping the field up/down. In a field above Hc2 the magnetic Bragg peaks show unusual history dependence. In zero field TN1 = 14.2(1) K separates a high temperature paramagnetic and an intermediate incommensurate structure, while TN2 = 11.1(3) K divides an incommensurate phase from the low-temperature 4-sublattice ground state. The ordering temperature TN1 is found to be almost field independent, while TN2 decreases noticeably in applied field. The magnetic phase diagram is discussed in terms of the interactions between an applied magnetic field and the highly frustrated magnetic structure of CuFeO2.