Exploration of pressure-resistant materials largely facilitates the operation under extreme conditions where the stable structure and properties are highly desirable. Magic-sized nanocrystals (MSNs) are of great interest due to their well-defined structure, ultra-small particle size, and precise atomic composition. Here, we reported the colloidal synthesis of CdSe MSNs with a sharp first exciton absorption peak at 463 nm. The corresponding photoluminescence (PL) spectrum exhibited a very narrow full width at half-maximum (FWHM) of about 13 nm. In situ high-pressure evolutions of PL and absorption unambiguously indicated that the peak position of as-prepared CdSe MSNs kept nearly unchanged with the pressure increasing. This behavior was completely different from conventional materials upon the stimulus of external pressure. Furthermore, the decompressed samples retained the original structure and morphology of CdSe MSNs. The properties of good pressure resistance of the CdSe MSNs are reflected in the process of pressurization, which improves the research of the magic-sized materials under extreme pressure.