Curvature is a fundamental lipid membrane property that influences many membrane-mediated biological processes and dynamic soft materials. One of the key parameters that determines the energetics of curvature change is the membrane bending rigidity. Understanding the intrinsic effect of pressure on membrane bending is critical to understanding the adaptation and structural behavior of bio-membranes in deep-sea organisms, as well as soft material processing. However, it has not previously been possible to measure the influence of high hydrostatic pressure on membrane bending energetics and this bottleneck has primarily been due to a lack of technology platforms for performing such measurements. We have developed a new high pressure microscopy cell which, combined with vesicle fluctuation analysis, has allowed us to make the first measurements of membrane bending rigidity as a function of pressure. Our results show a significant increase in bending rigidity at pressures up to 40 MPa. Above 40 MPa, the membrane mechanics become more complex. Corresponding small and wide angle X-ray diffraction shows an increase in density and thickness of the bilayer with increasing pressure which correlates with the micro-mechanical measurements and these results are consistent with recent theoretical predictions of the bending rigidity as a function of hydrocarbon chain density. This technology has the potential to transform our quantitative understanding of the role of pressure in soft material processing, the structural behavior of bio-membranes and the adaptation mechanisms employed by deep-sea organisms.