Using density functional theory, we study the influence of hydrostatic pressure on the crystal structure of lanthanide monoxides, focusing on the monoxides formed by the fifteen elements of the lanthanide series, from La to Lu. Calculations are performed using two methods for the ambient pressure B1 (NaCl type) structure, the general gradient approximation (GGA) and the local density approximation (LDA). Through a systematic comparison with existent experimental data, we find that the first method agrees better with the experiments. In addition, considering other cubic structures previously reported for lanthanide monoxides, as B2 (CsCl type) and B3 (ZnS type), we explore the possibility of the occurrence of pressure-induced phase transitions. Based on the better accuracy of GGA to describe the B1 phase at ambient conditions, we exclusively use GGA for the high pressure study. We find, for the fifteen studied compounds, that, at ambient pressure, the B1 structure is the one with the lowest enthalpy, being therefore the most thermodynamically stable structure. We also determine that, at elevated pressures, all the studied compounds undergo a structural phase transition to the B2 phase. We finally establish the relationship between pressure and volume of the unit cell, along with the associated isothermal equation of state, determining the bulk modulus.