AVO(4) orthovanadates are materials of fundamental and technological importance due to the large variety of functional properties exhibited by them. These materials have potential applications such as scintillators, thermophosphors, photocatalysts, and cathodoluminescence materials among others. They are also used as laser-host crystals. Studies at high pressures and temperatures are helpful for understanding the physical properties of the solid state, in particular, the phase behaviour of AVO(4) materials. For instance, they have contributed to the understanding of the macroscopic properties of orthovanadates in terms of microscopic mechanisms. A great progress has been made in the last decade towards the study of the pressure-effects on the structural, vibrational, and electronic properties of AVO(4) compounds. Thanks to the combination of experimental and theoretical studies, novel metastable structures with interesting physical properties have been discovered and the high-pressure structural sequence followed by AVO(4) oxides has been understood. In this article, we will review high-pressure studies carried out on the phase behaviour of different AVO(4) compounds. The studied materials include rare-earth orthovanadates and other compounds; for example, BiVO4, FeVO4, CrVO4, and InVO4. In particular, we will focus on discussing the results obtained by different research groups, who have extensively studied orthovanadates up to pressures exceeding 50 GPa. We will make a systematic presentation and discussion of the different results reported in the literature. In addition, with the aim of contributing to the improvement of the actual understanding of the high-pressure properties of ternary oxides, the high-pressure behaviour of orhovanadates will be compared with related compounds; including phosphates, chromates, and arsenates. The behaviour of nano materials under compression will also be briefly described and compared with their bulk counterpart. Finally, the implications of the reported studies on technological developments and geophysics will be commented and possible directions for the future studies will be proposed.