The defect double perovskite [He2-x □ x ][CaNb]F6, with helium on its A-site, can be prepared by the insertion of helium into ReO3-type CaNbF6 at high pressure. Upon cooling from 300 to 100 K under 0.4 GPa helium, ∼60% of the A-sites become occupied. Helium uptake was quantified by both neutron powder diffraction and gas insertion and release measurements. After the conversion of gauge pressure to fugacity, the uptake of helium by CaNbF6 can be described by a Langmuir isotherm. The enthalpy of absorption for helium in [He2-x □ x ][CaNb]F6 is estimated to be ∼+3(1) kJ mol-1, implying that its formation is entropically favored. Helium is able to diffuse through the material on a time scale of minutes at temperatures down to ∼150 K but is trapped at 100 K and below. The insertion of helium into CaNbF6 reduces the magnitude of its negative thermal expansion, increases the bulk modulus, and modifies its phase behavior. On compressing pristine CaNbF6, at 50 and 100 K, a cubic (Fm3̅m) to rhombohedral (R3̅) phase transition was observed at <0.20 GPa. However, a helium-containing sample remained cubic at 0.4 GPa and 50 K. CaNbF6, compressed in helium at room temperature, remained cubic to >3.7 GPa, the limit of our X-ray diffraction measurements, in contrast to prior reports that upon compression in a nonpenetrating medium, a phase transition is detected at ∼0.4 GPa.