Luminescence properties of CdTe and CdSe quantum dots have been studied under high hydrostatic pressure. The luminescence pressure coefficients of the II–VI quantum dots appear to be very similar to the pressure coefficients of the band-gap of bulk CdTe and CdSe, respectively. In contrary to that, the luminescence pressure coefficients of the III–V quantum dots are significantly lower than pressure coefficients of energy gaps of the appropriate dot materials. The discrepancy can be explained by the theoretical model, which takes into account effects of strain on pressure coefficients in thin strained layers. The experimentally observed pressure-induced quenching of the QDs luminescence is attributed to the “zinc-blende–cinnabar” phase transition in CdTe QDs and to the “zinc-blende–rock-salt” phase transition in CdSe QDs.