Applied static pressure can largely modify the structure and dynamics of molecular systems, with consequences on their optical properties and chemical stability. When photochemical effects are exploited in conjunction with the structural and dynamical conditions attained at high density, chemical reactivity may become highly selective and efficient, yielding technologically attractive products. Non-linear optical spectroscopies are a powerful tool to investigate molecular energetics and dynamics, and thus unveil key aspects of the chemical reactivity at a molecular level. Their application to high-pressure samples is experimentally challenging, mainly because of the small sample dimensions and the non-linear effects generated in the anvil materials. In this paper we review the main results on the behavior of electronic states at high pressure, obtained by non-linear optical techniques, discussing the relationship between pressure-induced structural modifications and chemical reactivity, and the state of the art of ongoing research.