Two-dimensional layered van der Waals materials have enormous potential applications in many fields due to their unique layered structure and excellent properties. Compared with three-dimensional bulk materials, layered systems are coupled by weak van der Waals interactions between layers, endowing them with much higher structural compressibility, particularly along the interlayer direction, which is more sensitive to external pressure. High pressure can expand the accessible phase space, enabling the synthesis of new materials or the retention of metastable phases. On the microscopic level, pressure can significantly tune the interlayer structure and interactions, induce changes in the electronic structure, and consequently give rise to a variety of rich physical properties. This article systematically introduces in situ high-pressure experimental approaches, including diamond anvil cells (DACs) combined with X-ray and spectroscopic techniques, high-pressure magnetic transport measurements, and emerging NV-center quantum sensing. It further reviews representative pressure-induced phenomena and underlying tuning mechanisms in layered magnetic materials, such as high-spin to low-spin transitions of transition-metal ions and the accompanying structural phase transitions and superconductivity; substantial enhancement of the Curie temperature (T_c) and continuous switching of magnetocrystalline anisotropy; and antiferromagnetic-to-ferromagnetic transitions achieved by modulating exchange interactions or via stacking engineering. Finally, we discuss future directions, including synergistic multi-field control by combining pressure with electric fields and twisted heterostructures, as well as strategies such as pressure quenching to retain high-pressure metastable magnetic phases at ambient conditions. These advances are expected to open new avenues for discovering novel magnetic states and developing high-performance device materials.