Polychromatic single-crystal diffraction (pSXD) offers important advantages compared with monochromatic diffraction, such as ultrafast data collection and the ability to collect diffraction data without sample rotation. Despite the relevance of these advantages for applications in high-pressure experiments, pSXD has never been successfully applied for full structure determination at high pressure. Here the theory of polychromatic microdiffraction, strategies developed to adapt it to high-pressure applications, and results of pilot experiments are described. Special emphasis is placed on experiments with microcrystals and multigrain aggregates, and on the use of monochromator scans to extend the pressure range for single-crystal structure determination to the megabar region. Closely related applications to materials research problems are also discussed.