The relative stability of different high-pressure phases of various cesium halides is studied from first principles and analyzed using the Landau theory of phase transitions. We present results for CsI, CsBr, and CsCl up to pressures of ~=100 GPa. A cubic-to-orthorhombic transition, driven by the softening of an acoustic phonon at the M point of the Brillouin zone, is competing with the cubic-to-tetragonal martensitic transition typical of these compounds. The phonon softening takes place only in CsI and CsBr at a residual volume of V/V0=0.64, 0.52, respectively. A cubic-to-tetragonal instability is found instead to occur at V/V0~=0.54 for all the compounds considered here. The orthorhombic phase is stable only in CsI, whereas it is taken over by the tetragonal one in the case of CsBr. Our analysis reveals the essential role played by the phonon-strain coupling in stabilizing the orthorhombic phase and in making the corresponding transition first order.