We report on high-pressure x-ray diffraction measurements up to 17.2 GPa in mercury digallium selenide (HgGa2Se4). The equation of state and the axial compressibilities for the low-pressure tetragonal phase have been determined and compared to related compounds. HgGa2Se4 exhibits a phase transition on upstroke toward a disordered rock-salt structure beyond 17 GPa, while on downstroke it undergoes a phase transition below 2.1 GPa to a phase that could be assigned to a metastable zinc-blende structure with a total cation-vacancy disorder. Thermal annealing at low- and high-pressure shows that kinetics plays an important role on pressure-driven transitions.