Under extreme conditions of high pressure and temperature, liquids can undergo substantial structural transformations as their atoms rearrange to minimise energy within a more confined volume. Understanding the structural response of liquids under extreme conditions is important across a variety of disciplines, from fundamental physics and exotic chemistry to materials and planetary science. In situ experiments and atomistic simulations can provide crucial insight into the nature of liquid-liquid phase transitions and the complex phase diagrams and melting relations of high-pressure materials. Structural changes in natural magmas at the high-pressures experienced in deep planetary interiors can have a profound impact on their physical properties, knowledge of which is important to inform geochemical models of magmatic processes. Generating the extreme conditions required to melt samples at high-pressure, whilst simultaneously measuring their liquid structure, is a considerable challenge. The measurement, analysis, and interpretation of structural data is further complicated by the inherent disordered nature of liquids at the atomic-scale. However, recent advances in high-pressure technology mean that liquid diffraction measurements are becoming more routinely feasible at synchrotron facilities around the world. This topical review examines methods for high pressure synchrotron x-ray diffraction of liquids and the wide variety of systems which have been studied by them, from simple liquid metals and their remarkable complex behaviour at high-pressure, to molecular-polymeric liquid-liquid transitions in pnicogen and chalcogen liquids, and density-driven structural transformations in water and silicate melts.