High-pressure investigations on transition-metal dichalcogenides (TMD) have been considered as an efficient way to investigate their unique crystalline and electronic properties. Here we studied the vibrational behaviors of pressurized multilayer WSe2 with two (2TL) to six layers (6TL) by Raman spectroscopy. The intralayer and interlayer vibrations of WSe2 all show a monotonous blue shift without any discontinuity. Due to the strong interlayer coupling interactions, no structural transition occurs, but nondegeneration splitting of shear mode vibrations coming from pressure-induced in-plane deformation is observed. As the interlayer coupling increases in thicker WSe2, the in-plane deformation is suppressed and takes place at higher pressure. The monotonous increase of force constants and elastic constants suggested a stable structure of WSe2 within our studied pressure range.