A new experimental device for studying the stress sensitivity of capillary pressure is presented. The components of the device are introduced in detail and a protective device for the semipermeable plates is explored. The device offers several advantages. Precise and high drainage pressure are achieved with the use of a pressurized measurement system and high drainage pressure is achieved, while a thermostat maintains a constant temperature throughout the entire process, eliminating the effect of temperature on the stress sensitivity of capillary pressure. The effect of temperature can be studied by varying the parameters of the thermostat. Experiments with a single rock type under varying confining pressures, but with constant drainage pressure are conducted. Based on the analysis of the experimental results, it is established that capillary pressure is affected by the overburden pressure.