We present some recent results on magnetic neutron studies at pressures above 40 GPa. We used diamond and sapphire anvil pressure cells for low temperature neutron studies and a powder diffractometer specialized for high pressure studies. Focusing systems and low-background conditions allowed us to study samples with volumes as small as 0.001 mm3 in a diamond anvil cell at a pressure of 50 GPa. This technical progress allowed us to obtain new results in studies of “textbook” magnetic insulators EuX (X = S, Se, Te) and GdX (X = As, Sb, Bi). We found new magnetic phases. In the Eu-chalcogenides we observed a strong anion-dependent increase of the ferromagnetic exchange with decreasing lattice constant. In contrast, in the GdX compounds the antiferromagnetic order remains stable up to a pressure of 43 GPa. We show the importance of our results to understand the origin of indirect exchange interactions in magnetic semiconductors with well localized magnetic shells.