We comprehensively studied the magnetotransport properties of LaAgSb$_2$ under high pressure up to 4 GPa, which showed unique successive charge density wave (CDW) transitions at $T_{CDW1}\sim 210$ K and $T_{CDW2}\sim 190$ K at ambient pressure. With the application of pressure, both $T_{CDW1}$ and $T_{CDW2}$ were suppressed and disappeared at the critical pressures of $P_{CDW1}=3.0$--3.4 GPa and $P_{CDW2}=1.5$--1.9 GPa, respectively. At $P_{CDW1}$, the Hall conductivity showed a step-like increase, which is consistently understood by the emergence of two-dimensional hollow Fermi surface at $P_{CDW1}$. We also observed a significant negative magnetoresistance effect when the magnetic field and current were applied parallel to the $c$ axis. Shubnikov--de Haas (SdH) oscillation measurements under pressure directly showed the changes in the Fermi surface across the CDW phase boundaries. In $P<P_{CDW2}$, three major oscillation components, $\alpha$, $\beta$, and $\gamma$, were identified, whose frequencies were increased by application of pressure. The increment rate of these frequencies was considerably larger than that expected from the shrinkage of lattice constant, indicating the unignorable band modification under pressure. In the normal metallic phase above $P>P_{CDW1}$, we observed a single frequency of $\sim 48$ T with a cyclotron effective mass of 0.066 $m_0$, whose cross section in the reciprocal space corresponded to only 0.22\% of the first Brillouin zone. Besides, we observed another oscillation component with frequency of $\sim 9.2$ T, which is significantly enhanced in the limited pressure range of $P_{CDW2}<P<P_{CDW1}$. The amplitude of this oscillation was anomalously suppressed in the high-field and low-temperature region, which cannot be explained by the conventional Lifshitz--Kosevich formula.
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