The application of static high pressure provides a method for precisely controlling and investigating many fundamental and unique properties of semiconductor nanocrystals (NCs). This study systematically investigates the high-pressure photoluminescence (PL) and time-resolved carrier dynamics of thiol-capped CdTe NCs of different sizes, at different concentrations, and in various stress environments. The zincblende-to-rocksalt phase transition in thiol-capped CdTe NCs is observed at a pressure far in excess of the bulk phase transition pressure. Additionally, the process of transformation depends strongly on NC size, and the phase transition pressure increases with NC size. These peculiar phenomena are attributed to the distinctive bonding of thiols to the NC surface. In a nonhydrostatic environment, considerable flattening of the PL energy of CdTe NC powder is observed above 3.0 GPa. Furthermore, asymmetric and double-peak PL emissions are obtained from a concentrated solution of CdTe NCs under hydrostatic pressure, implying the feasibility of pressure-induced interparticle coupling.