Lanthanide Single‐Molecule Magnets are fascinating objects that break magnetic performance records with observable magnetic bistability at the boiling temperature of liquid nitrogen, paving the way for potential applications in high‐density data storage. The switching of lanthanide SMM has been successfully achieved using several external stimuli such as redox reaction, pH titration, light irradiation or solvation/desolvation thanks to the high sensitivity of the magnetic anisotropy to any structural change in the lanthanide surrounding. Nevertheless, the use of applied high pressure as an external stimulus is largely underused, especially considering that it can be combined with high pressure X‐ray diffraction to establish a complementary structure‐property relationship. This Concept article summarizes the few relevant examples of investigations of lanthanide SMMs under applied high pressure, provides conclusions on the effect of such stimulus on molecular structures and magnetic anisotropy, and finally draws perspective on the future development of magnetic measurements under applied pressure.