Severe plastic deformations (SPD) under high pressure, mostly by high-pressure torsion, are employed for producing nanostructured materials and stable or metastable high-pressure phases. However, they were studied postmortem after pressure release. Here, we review recent in situ experimental and theoretical studies of coupled SPD, strain-induced phase transformations (PTs), and microstructure evolution under high pressure obtained under compression in diamond anvil cell or compression and torsion in rotational diamond anvil cell. The utilization of x-ray diffraction with synchrotron radiation allows one to determine the radial distribution of volume fraction of phases, pressure, dislocation density, and crystallite size in each phase and find the main laws of their evolution and interaction. Coupling with the finite element simulations of the sample behavior allows the determination of fields of all components of the stress and plastic strain tensors and volume fraction of high-pressure phase and provides a better understanding of ways to control occurring processes. Atomistic, nanoscale and scale-free phase-field simulations allow elucidation of the main physical mechanisms of the plastic strain-induced drastic reduction in phase transformation pressure (by one to two orders of magnitude), the appearance of new phases, and strain-controlled PT kinetics in comparison with hydrostatic loading. Combining in situ experiments with multiscale theory potentially leads to the formulation of methods to control strain-induced PT and microstructure evolution and designing economic synthetic paths for the defect-induced synthesis of desired high-pressure phases, nanostructures, and nanocomposites.